U.S. patent application number 11/205219 was filed with the patent office on 2006-09-07 for stock portfolio selection device, stock portfolio selection method and medium storing stock portfolio selection program.
Invention is credited to Makoto Asada, Kazumi Hasuko, Hideaki Hotta, Hiroaki Masuyama, Kaoru Miyamoto, Manabu Orito, Yu Zhang.
Application Number | 20060200395 11/205219 |
Document ID | / |
Family ID | 36945220 |
Filed Date | 2006-09-07 |
United States Patent
Application |
20060200395 |
Kind Code |
A1 |
Masuyama; Hiroaki ; et
al. |
September 7, 2006 |
Stock portfolio selection device, stock portfolio selection method
and medium storing stock portfolio selection program
Abstract
Provided is a device for automatically selecting a more
preferable stock portfolio based on the results upon performing a
comprehensive valuation of companies using a corporate valuation
index containing an intellectual asset related index. Upon
selecting the stock portfolio, a plurality of corporate valuation
index related data containing an intellectual asset related index
is acquired (steps S1 to S6), analysis is performed with the
acquired corporate valuation index related data and a company
ranking corresponding to at least one prescribed index is created
(steps S7 to S13 and S19), a prescribed number of companies is
selected from the created company ranking (step S14), an investment
ratio is selected in relation to each of the selected companies
(step S15), and, based on the obtained distribution result of the
investment ratio, a stock portfolio corresponding to the selected
company is created and output (steps S16, S17).
Inventors: |
Masuyama; Hiroaki; (Osaka,
JP) ; Miyamoto; Kaoru; (Tokyo, JP) ; Asada;
Makoto; (Tokyo, JP) ; Hasuko; Kazumi; (Tokyo,
JP) ; Hotta; Hideaki; (Tokyo, JP) ; Orito;
Manabu; (Tokyo, JP) ; Zhang; Yu; (Tokyo,
JP) |
Correspondence
Address: |
WENDEROTH, LIND & PONACK, L.L.P.
2033 K STREET N. W.
SUITE 800
WASHINGTON
DC
20006-1021
US
|
Family ID: |
36945220 |
Appl. No.: |
11/205219 |
Filed: |
August 17, 2005 |
Current U.S.
Class: |
705/35 |
Current CPC
Class: |
G06Q 40/00 20130101;
G06Q 40/06 20130101 |
Class at
Publication: |
705/035 |
International
Class: |
G06Q 40/00 20060101
G06Q040/00 |
Foreign Application Data
Date |
Code |
Application Number |
Mar 7, 2005 |
JP |
2005-063169 |
Claims
1. A stock portfolio selection device for selecting a stock
portfolio based on a corporate valuation index, comprising: data
acquisition means for acquiring corporate valuation index related
data containing an intellectual asset related index; company
ranking creation means for performing corporate valuation with said
corporate valuation index related data to create the company
ranking; stock-for-portfolio selection means for selecting a
prescribed number of companies from said company ranking and making
the companies the stock for portfolio; investment ratio selection
means for selecting the investment ratio of funds to be invested in
the respective companies selected by said stock-for-portfolio
selection means; and stock portfolio creation means for creating a
stock portfolio corresponding to said stock for portfolio based on
said investment ratio.
2. The stock portfolio selection device according to claim 1,
further comprising industry/company selection means for selecting
an industry and/or company.
3. The stock portfolio selection device according to claim 1,
wherein said company ranking creation means comprises: index
selection means for selecting a prescribed number of corporate
valuation indexes so as to contain at least one intellectual asset
related index from the corporate valuation index related data
acquired by said data acquisition means; and principle component
analysis means for performing principle component analysis with the
corporate valuation index selected by said index selection means
and calculating principle component score of each company.
4. The stock portfolio selection device according to claim 1,
wherein said company ranking creation means comprises: factor
analysis means for performing factor analysis to extract factor
with the corporate valuation index related data acquired by said
data acquisition means and uniting said corporate valuation index
based on said factor; multiple regression analysis means for
performing multiple regression analysis based on the factor
extracted by said factor analysis means and profit related index
representing various profits such as intellectual asset related
profits, and selecting the corporate valuation index based on the
factor showing the statistical significance in relation to said
profit related index; and principle component analysis means for
performing principle component analysis with the corporate
valuation index selected by said multiple regression analysis means
and calculating principle component score of each company.
5. The stock portfolio selection device according to claim 1,
wherein said company ranking creation means comprises covariance
structure analysis means for performing covariance structure
analysis taking the corporate valuation index containing said
intellectual asset related index as observed variable so as to
perform corporate valuation for said respective companies.
6. The stock portfolio selection device according to claim 1,
wherein said investment ratio selection means distributes
investment funds equally to the stock of the respective companies
selected by said stock-for-portfolio selection means.
7. The stock portfolio selection device according to claim 1,
wherein said investment ratio selection means comprises:
theoretical stock price calculation means for calculating the
theoretical stock price of the respective companies selected by
said stock-for-portfolio selection means; first parameter
calculation means for calculating first parameters of the
theoretical excess profit in relation to the market stock price of
said respective companies, theoretical sensitivity of the stock
price of said respective companies in relation to the fluctuation
of the stock market price, and theoretical residual showing an
independent price movement of the stock of said respective
companies based on said theoretical stock price; expected return
calculation means for calculating the expected return of said stock
for portfolio based on said first parameters; risk calculation
means for calculating the risk of said stock for portfolio based on
said first parameters; efficient frontier derivation means for
deriving the efficient frontier by calculating the share of
portfolio of said stock for portfolio in relation to the value of
the respective expected returns so as to make the value of said
expected return a fixed value and make the value of said risk a
minimum value; risk-free rate data acquisition means for acquiring
the risk-free rate data; capital market line derivation means for
deriving a capital market line through a fixed point of the
risk-free rate and tangent to said efficient frontier; optimum
share of portfolio calculation means for calculating the share of
portfolio of said stock for portfolio in the contact point of said
efficient frontier and said capital market line; and fund
investment ratio calculation means for calculating the fund
investment ratio in relation to the stock of the respective
companies forming said stock for portfolio based on said optimum
share of portfolio.
8. The stock portfolio selection device according to claim 1,
wherein said investment ratio selection means comprises:
theoretical stock price calculation means for calculating the
theoretical stock price of the respective companies selected by
said stock-for-portfolio selection means; stock price index data
acquisition means for acquiring price movement data of the stock
price index; individual stock data acquisition means for acquiring
price movement data of the stock price of said respective
companies; second parameter calculation means for performing
comparative analysis of the price movement of said stock price
index and the price movement of the stock price of said respective
companies, and calculating second parameters of the excess profit
of each stock of said respective companies in relation to the
profit of said stock price index, sensitivity of the stock price of
said respective companies in relation to the price movement of said
stock price index, and residual showing an independent price
movement of the stock of said respective companies which is
independent from the price movement of said stock price index;
correction means for correcting said second parameters based on
said theoretical stock price; expected return calculation means for
calculating the expected return of said stock for portfolio based
on said corrected second parameters; risk calculation means for
calculating the risk of said stock for portfolio based on said
corrected second parameters; efficient frontier derivation means
for deriving the efficient frontier by calculating the share of
portfolio of said stock for portfolio in relation to the value of
the respective expected returns so as to make the value of said
expected return a fixed value and make the value of said risk a
minimum value; risk-free rate data acquisition means for acquiring
the risk-free rate data; capital market line derivation means for
deriving a capital market line through a fixed point of the
risk-free rate and tangent to said efficient frontier; optimum
share of portfolio calculation means for calculating the share of
portfolio of said stock for portfolio in the contact point of said
efficient frontier and said capital market line; and fund
investment ratio calculation means for calculating the fund
investment ratio in relation to the stock of the respective
companies forming said stock for portfolio based on said optimum
share of portfolio.
9. The stock portfolio selection device according to claim 7,
wherein said theoretical stock price calculation means comprises:
total business income after tax theoretical value calculation means
for calculating the total business income after tax theoretical
value of a company with corporate valuation index related data
containing said intellectual asset related index; investment
capital cost calculation means for calculating the investment
capital cost of a company with said corporate valuation index
related data; theoretical economic excess profit calculation means
for calculating the theoretical economic excess profit by deducting
said investment capital cost from said total business income after
tax theoretical value; discount rate calculation means for
calculating the discount rate for derivation of the present value
of a company with the corporate valuation index related data
containing said intellectual asset related index; theoretical
market-value-added calculation means for calculating the
theoretical market-value-added by dividing said theoretical
economic excess profit by said discount rate; equity capital
calculation means for calculating the equity capital of a company
with corporate valuation index related data containing said
intellectual asset related index; estimated aggregate market value
calculation means for calculating the estimated aggregate market
value of a company by adding said market-value-added and said
equity capital; and theoretical stock price calculation means for
calculating the theoretical stock price by dividing said estimated
aggregate market value by the total outstanding stock volume.
10. The stock portfolio selection device according to claim 8,
wherein said theoretical stock price calculation means comprises:
total business income after tax theoretical value calculation means
for calculating the total business income after tax theoretical
value of a company with corporate valuation index related data
containing said intellectual asset related index; investment
capital cost calculation means for calculating the investment
capital cost of a company with said corporate valuation index
related data; theoretical economic excess profit calculation means
for calculating the theoretical economic excess profit by deducting
said investment capital cost from said total business income after
tax theoretical value; discount rate calculation means for
calculating the discount rate for derivation of the present value
of a company with the corporate valuation index related data
containing said intellectual asset related index; theoretical
market-value-added calculation means for calculating the
theoretical market-value-added by dividing said theoretical
economic excess profit by said discount rate; equity capital
calculation means for calculating the equity capital of a company
with corporate valuation index related data containing said
intellectual asset related index; estimated aggregate market value
calculation means for calculating the estimated aggregate market
value of a company by adding said market-value-added and said
equity capital; and theoretical stock price calculation means for
calculating the theoretical stock price by dividing said estimated
aggregate market value by the total outstanding stock volume.
11. A stock portfolio selection method for selecting a stock
portfolio based on a corporate valuation index, comprising: a data
acquisition step for acquiring corporate valuation index related
data containing an intellectual asset related index; a company
ranking creation step for performing corporate valuation with said
corporate valuation index related data to create the company
ranking; a stock-for-portfolio selection step for selecting a
prescribed number of companies from said company ranking and making
the companies the stock for portfolio; an investment ratio
selection step for selecting the investment ratio of funds to be
invested in the respective companies selected by said
stock-for-portfolio selection step; and a stock portfolio creation
step for creating a stock portfolio corresponding to said stock for
portfolio based on said investment ratio.
12. The stock portfolio selection method according to claim 11,
further comprising an industry/company selection step for selecting
an industry and/or company.
13. The stock portfolio selection method according to claim 11,
wherein said company ranking creation step comprises: an index
selection step for selecting a prescribed number of corporate
valuation indexes so as to contain at least one intellectual asset
related index from the corporate valuation index related data
acquired by said data acquisition step; and a principle component
analysis step for performing principle component analysis with the
corporate valuation index selected by said index selection step and
calculating principle component score of each company.
14. The stock portfolio selection method according to claim 11,
wherein said company ranking creation step comprises: a factor
analysis step for performing factor analysis to extract factor with
the corporate valuation index related data acquired by said data
acquisition step and uniting said corporate valuation index based
on said factor; a multiple regression analysis step for performing
multiple regression analysis based on the factor extracted by said
factor analysis step and profit related index representing various
profits such as intellectual asset related profits, and selecting
the corporate valuation index based on the factor showing the
statistical significance in relation to said profit related index;
and a principle component analysis step for performing principle
component analysis with the corporate valuation index selected by
said multiple regression analysis step and calculating principle
component score of each company.
15. The stock portfolio selection method according to claim 11,
wherein said company ranking creation step comprises a covariance
structure analysis step for performing covariance structure
analysis taking the corporate valuation index containing said
intellectual asset related index as observed variable so as to
perform corporate valuation for said respective companies.
16. The stock portfolio selection method according to claim 11,
wherein said investment ratio selection step distributes investment
funds equally to the stock of the respective companies selected by
said stock-for-portfolio selection step.
17. The stock portfolio selection method according to claim 11,
wherein said investment ratio selection step comprises: a
theoretical stock price calculation step for calculating the
theoretical stock price of the respective companies selected by
said stock-for-portfolio selection step; a first parameter
calculation step for calculating first parameters of the
theoretical excess profit in relation to the market stock price of
said respective companies, theoretical sensitivity of the stock
price of said respective companies in relation to the fluctuation
of the stock market price, and theoretical residual showing an
independent price movement of the stock of said respective
companies based on said theoretical stock price; an expected return
calculation step for calculating the expected return of said stock
for portfolio based on said first parameters; a risk calculation
step for calculating the risk of said stock for portfolio based on
said first parameters; an efficient frontier derivation step for
deriving the efficient frontier by calculating the share of
portfolio of said stock for portfolio in relation to the value of
the respective expected returns so as to make the value of said
expected return a fixed value and make the value of said risk a
minimum value; a risk-free rate data acquisition step for acquiring
the risk-free rate data; a capital market line derivation step for
deriving a capital market line through a fixed point of the
risk-free rate and tangent to said efficient frontier; an optimum
share of portfolio calculation step for calculating the share of
portfolio of said stock for portfolio in the contact point of said
efficient frontier and said capital market line; and a fund
investment ratio calculation step for calculating the fund
investment ratio in relation to the stock of the respective
companies forming said stock for portfolio based on said optimum
share of portfolio.
18. The stock portfolio selection method according to claim 11,
wherein said investment ratio selection step comprises: a
theoretical stock price calculation step for calculating the
theoretical stock price of the respective companies selected by
said stock-for-portfolio selection step; a stock price index data
acquisition step for acquiring price movement data of the stock
price index; an individual stock data acquisition step for
acquiring price movement data of the stock price of said respective
companies; a second parameter calculation step for performing
comparative analysis of the price movement of said stock price
index and the price movement of the stock price of said respective
companies, and calculating second parameters of the excess profit
of each stock of said respective companies in relation to the
profit of said stock price index, sensitivity of the stock price of
said respective companies in relation to the price movement of said
stock price index, and residual showing an independent price
movement of the stock of said respective companies which is
independent from the price movement of said stock price index; a
correction step for correcting said second parameters based on said
theoretical stock price; an expected return calculation step for
calculating the expected return of said stock for portfolio based
on said corrected second parameters; a risk calculation step for
calculating the risk of said stock for portfolio based on said
corrected second parameters; an efficient frontier derivation step
for deriving the efficient frontier by calculating the share
of-portfolio of said stock for portfolio in relation to the value
of the respective expected returns so as to make the value of said
expected return a fixed value and make the value of said risk a
minimum value; a risk-free rate data acquisition step for acquiring
the risk-free rate data; a capital market line derivation step for
deriving a capital market line through a fixed point of the
risk-free rate and tangent to said efficient frontier; an optimum
share of portfolio calculation step for calculating the share of
portfolio of said stock for portfolio in the contact point of said
efficient frontier and said capital market line; and a fund
investment ratio calculation step for calculating the fund
investment ratio in relation to the stock of the respective
companies forming said stock for portfolio based on said optimum
share of portfolio.
19. The stock portfolio selection method according to claim 17,
wherein said theoretical stock price calculation step comprises: a
total business income after tax theoretical value calculation step
for calculating the total business income after tax theoretical
value of a company with corporate valuation index related data
containing said intellectual asset related index; an investment
capital cost calculation step for calculating the investment
capital cost of a company with said corporate valuation index
related data; a theoretical economic excess profit calculation step
for calculating the theoretical economic excess profit by deducting
said investment capital cost from said total business income after
tax theoretical value; a discount rate calculation step for
calculating the discount rate for derivation of the present value
of a company with the corporate valuation index related data
containing said intellectual asset related index; a theoretical
market-value-added calculation step for calculating the theoretical
market-value-added by dividing said theoretical economic excess
profit by said discount rate; an equity capital calculation step
for calculating the equity capital of a company with corporate
valuation index related data containing said intellectual asset
related index; an estimated aggregate market value calculation step
for calculating the estimated aggregate market value of a company
by adding said market-value-added and said equity capital; and a
theoretical stock price calculation step for calculating the
theoretical stock price by dividing said estimated aggregate market
value by the total outstanding stock volume.
20. The stock portfolio selection method according to claim 18,
wherein said theoretical stock price calculation step comprises: a
total business income after tax theoretical value calculation step
for calculating the total business income after tax theoretical
value of a company with corporate valuation index related data
containing said intellectual asset related index; an investment
capital cost calculation step for calculating the investment
capital cost of a company with said corporate valuation index
related data; a theoretical economic excess profit calculation step
for calculating the theoretical economic excess profit by deducting
said investment capital cost from said total business income after
tax theoretical value; a discount rate calculation step for
calculating the discount rate for derivation of the present value
of a company with the corporate valuation index related data
containing said intellectual asset related index; a theoretical
market-value-added calculation step for calculating the theoretical
market-value-added by dividing said theoretical economic excess
profit by said discount rate; an equity capital calculation step
for calculating the equity capital of a company with corporate
valuation index related data containing said intellectual asset
related index; an estimated aggregate market value calculation step
for calculating the estimated aggregate market value of a company
by adding said market-value-added and said equity capital; and a
theoretical stock price calculation step for calculating the
theoretical stock price by dividing said estimated aggregate market
value by the total outstanding stock volume.
21. A computer-readable medium storing a program for causing a
computer to execute a function of selecting a stock portfolio based
on a corporate valuation index, said function comprising: a data
acquisition step for acquiring corporate valuation index related
data containing an intellectual asset related index; a company
ranking creation step for performing corporate valuation with said
corporate valuation index related data to create the company
ranking; a stock-for-portfolio selection step for selecting a
prescribed number of companies from said company ranking and making
the companies the stock for portfolio; an investment ratio
selection step for selecting the investment ratio of funds to be
invested in the respective companies selected by said
stock-for-portfolio selection step; and a stock portfolio creation
step for creating a stock portfolio corresponding to said stock for
portfolio based on said investment ratio.
22. The computer-readable medium according to claim 21, said
function further comprising an industry/company selection step for
selecting an industry and/or company.
23. The computer-readable medium according to claim 21, wherein
said company ranking creation step comprises: an index selection
step for selecting a prescribed number of corporate valuation
indexes so as to contain at least one intellectual asset related
index from the corporate valuation index related data acquired by
said data acquisition step; and a principle component analysis step
for performing principle component analysis with the corporate
valuation index selected by said index selection step and
calculating principle component score of each company.
24. The computer-readable medium according to claim 21, wherein
said company ranking creation step comprises: a factor analysis
step for performing factor analysis to extract factor with the
corporate valuation index related data acquired by said data
acquisition step and uniting said corporate valuation index based
on said factor; a multiple regression analysis step for performing
multiple regression analysis based on the factor extracted by said
factor analysis step and profit related index representing various
profits such as intellectual asset related profits, and selecting
the corporate valuation index based on the factor showing the
statistical significance in relation to said profit related index;
and a principle component analysis step for performing principle
component analysis with the corporate valuation index selected by
said multiple regression analysis step and calculating principle
component score of each company.
25. The computer-readable medium according to claim 21, wherein
said company ranking creation step comprises a covariance structure
analysis step for performing covariance structure analysis taking
the corporate valuation index containing said intellectual asset
related index as observed variable so as to perform corporate
valuation for said respective companies.
26. The computer-readable medium according to claim 21, wherein
said investment ratio selection step distributes investment funds
equally to the stock of the respective companies selected by said
stock-for-portfolio selection step.
27. The computer-readable medium according to claim 21, wherein
said investment ratio selection step comprises: a theoretical stock
price calculation step for calculating the theoretical stock price
of the respective companies selected by said stock-for-portfolio
selection step; a first parameter calculation step for calculating
first parameters of the theoretical excess profit in relation to
the market stock price of said respective companies, theoretical
sensitivity of the stock price of said respective companies in
relation to the fluctuation of the stock market price, and
theoretical residual showing an independent price movement of the
stock of said respective companies based on said theoretical stock
price; an expected return calculation step for calculating the
expected return of said stock for portfolio based on said first
parameters; a risk calculation step for calculating the risk of
said stock for portfolio based on said first parameters; an
efficient frontier derivation step for deriving the efficient
frontier by calculating the share of portfolio of said stock for
portfolio in relation to the value of the respective expected
returns so as to make the value of said expected return a fixed
value and make the value of said risk a minimum value; a risk-free
rate data acquisition step for acquiring the risk-free rate data; a
capital market line derivation step for deriving a capital market
line through a fixed point of the risk-free rate and tangent to
said efficient frontier; an optimum share of portfolio calculation
step for calculating the share of portfolio of said stock for
portfolio in the contact point of said efficient frontier and said
capital market line; and a fund investment ratio calculation step
for calculating the fund investment ratio in relation to the stock
of the respective companies forming said stock for portfolio based
on said optimum share of portfolio.
28. The computer-readable medium according to claim 21, wherein
said investment ratio selection step comprises: a theoretical stock
price calculation step for calculating the theoretical stock price
of the respective companies selected by said stock-for-portfolio
selection step; a stock price index data acquisition step for
acquiring price movement data of the stock price index; an
individual stock data acquisition step for acquiring price movement
data of the stock price of said respective companies; a second
parameter calculation step for performing comparative analysis of
the price movement of said stock price index and the price movement
of the stock price of said respective companies, and calculating
second parameters of the excess profit of each stock of said
respective companies in relation to the profit of said stock price
index, sensitivity of the stock price of said respective companies
in relation to the price movement of said stock price index, and
residual showing an independent price movement of the stock of said
respective companies which is independent from the price movement
of said stock price index; a correction step for correcting said
second parameters based on said theoretical stock price; an
expected return calculation step for calculating the expected
return of said stock for portfolio based on said corrected second
parameters; a risk calculation step for calculating the risk of
said stock for portfolio based on said corrected second parameters;
an efficient frontier derivation step for deriving the efficient
frontier by calculating the share of portfolio of said stock for
portfolio in relation to the value of the respective expected
returns so as to make the value of said expected return a fixed
value and make the value of said risk a minimum value; a risk-free
rate data acquisition step for acquiring the risk-free rate data; a
capital market line derivation step for deriving a capital market
line through a fixed point of the risk-free rate and tangent to
said efficient frontier; an optimum share of portfolio calculation
step for calculating the share of portfolio of said stock for
portfolio in the contact point of said efficient frontier and said
capital market line; and a fund investment ratio calculation step
for calculating the fund investment ratio in relation to the stock
of the respective companies forming said stock for portfolio based
on said optimum share of portfolio.
29. The computer-readable medium according to claim 27, wherein
said theoretical stock price calculation step comprises: a total
business income after tax theoretical value calculation step for
calculating the total business income after tax theoretical value
of a company with corporate valuation index related data containing
said intellectual asset related index; an investment capital cost
calculation step for calculating the investment capital cost of a
company with said corporate valuation index related data; a
theoretical economic excess profit calculation step for calculating
the theoretical economic excess profit by deducting said investment
capital cost from said total business income after tax theoretical
value; a discount rate calculation step for calculating the
discount rate for derivation of the present value of a company with
the corporate valuation index related data containing said
intellectual asset related index; a theoretical market-value-added
calculation step for calculating the theoretical market-value-added
by dividing said theoretical economic excess profit by said
discount rate; an equity capital calculation step for calculating
the equity capital of a company with corporate valuation index
related data containing said intellectual asset related index; an
estimated aggregate market value calculation step for calculating
the estimated aggregate market value of a company by adding said
market-value-added and said equity capital; and a theoretical stock
price calculation step for calculating the theoretical stock price
by dividing said estimated aggregate market value by the total
outstanding stock volume.
30. The computer-readable medium according to claim 28, wherein
said theoretical stock price calculation step comprises: a total
business income after tax theoretical value calculation step for
calculating the total business income after tax theoretical value
of a company with corporate valuation index related data containing
said intellectual asset related index; an investment capital cost
calculation step for calculating the investment capital cost of a
company with said corporate valuation index related data; a
theoretical economic excess profit calculation step for calculating
the theoretical economic excess profit by deducting said investment
capital cost from said total business income after tax theoretical
value; a discount rate calculation step for calculating the
discount rate for derivation of the present value of a company with
the corporate valuation index related data containing said
intellectual asset related index; a theoretical market-value-added
calculation step for calculating the theoretical market-value-added
by dividing said theoretical economic excess profit by said
discount rate; an equity capital calculation step for calculating
the equity capital of a company with corporate valuation index
related data containing said intellectual asset related index; an
estimated aggregate market value calculation step for calculating
the estimated aggregate market value of a company by adding said
market-value-added and said equity capital; and a theoretical stock
price calculation step for calculating the theoretical stock price
by dividing said estimated aggregate market value by the total
outstanding stock volume.
Description
BACKGROUND OF THE INVENTION
[0001] 1. Field of the Invention
[0002] The present invention relates to a stock portfolio selection
device for selecting a stock portfolio based on a corporate
valuation index. The present invention further relates to a stock
portfolio selection method and a medium storing a program for stock
portfolio selection.
[0003] 2. Description of the Related Art
[0004] When creating a stock portfolio, it is desirable to
incorporate stock expected to yield a high return in the portfolio
while combining a portfolio capable of reducing the risk of the
return fluctuating. Thus, when creating a stock portfolio, in
addition to selecting the stock, it is desirable to seek a
portfolio combination giving consideration to the optimum
investment ratio in relation to the selected stock. Thereupon,
stocks expected to yield a high return are often determined by
financial institutions and financial analysts based on their
knowledge, experience and quantitative analysis. Further, as data
for making this decision, for instance, it is standard to employ
macro data publicly announced by government and public offices or
the Tokyo Stock Exchange such as the transition of the interest
rate trend, transition of the Nikkei Stock Average/TOPIX, capital
investment trend of companies and so on. Moreover, as micro data,
it is standard to employ the previous stock price transition and
financial statements of companies as data for making this decision.
In other words, the selection of this kind of stock was made based
on the macro data publicly announced as described above and the
valuation on the on-balance assets represented in financial
statements.
[0005] Nevertheless, today, the profit and corporate value of
companies are determined depending largely on the off-balance
intellectual assets such as technology, R&D and brand. And, in
light of the above, proposed is a method of selecting stock
expected to yield a high return in the future by valuating the
potential technical capabilities of companies not represented in
financial statements and the like with an intellectual asset
related index such as patents (e.g., U.S. Pat. No. 6,175,824)
[0006] Nevertheless, in foregoing U.S. Pat. No. 6,175,824, as the
index used for calculating the corporate valuation, only an index
obtained from public information of intellectual assets such as
patents is used.
[0007] Thus, the present invention uses the indexes obtained from
patents representing off-balance intellectual assets and further
adds data obtained from information concerning the management and
finance of companies. The present invention then comprehensively
valuates how the respective companies are creating and operating
the triune management strategy consisting of business strategy,
R&D strategy and intellectual property strategy so as to
increase the corporate value. Moreover, this is used as the
criterion of judgment upon selecting the stock for portfolio. In
addition, the optimum investment ratio can be determined and output
based on the same criterion as the case of selecting the stock for
portfolio. As a result, provided is a highly convenient stock
portfolio selection device, stock portfolio selection method and
medium storing a program for stock portfolio selection.
SUMMARY OF THE INVENTION
[0008] In order to achieve the foregoing object, the present
invention comprising the following constitution. Incidentally,
definition of the terms used for explaining the invention claimed
in any of the claims shall be applicable to the invention
pertaining to the other claims to the extent possible according to
its nature.
[0009] (1) The present invention is a device for selecting a stock
portfolio based on a corporate valuation index, having the
following units; that is, a data acquisition unit for acquiring
corporate valuation index related data containing an intellectual
asset related index; a company ranking creation unit for performing
corporate valuation with the corporate valuation index related data
to create a company ranking; a stock-for-portfolio stock selection
unit for selecting a prescribed number of companies from the
company ranking and making the companies the stock for portfolio; a
investment ratio selection unit for selecting the investment ratio
of funds to be invested in the respective companies selected by the
stock-for-portfolio selection unit; and a stock portfolio creation
unit for creating a stock portfolio corresponding to the stock for
portfolio based on the investment ratio.
[0010] According to the foregoing constitution, the intellectual
assets accumulated based on R&D activities and the potential
competitive power as the organization and personnel for creating
intellectual assets can be valuated appropriately. Further, based
on the strategic utilization of such intellectual assets and
organization/personnel, companies expected to increasing their
overt competitive power and profitability can be appropriately
selected. And, it is also possible to select the distribution ratio
of invested funds in relation to the selected stock-for-portfolio
company based on the same criterion as in the case of selecting the
companies. Thereby, information on the exchange of stocks and
investment ratio can be acquired easily and accurately.
[0011] (2) In the foregoing stock portfolio selection device, it is
desirable to further provide an industry/company selection unit for
selecting an industry and/or company.
[0012] According to the foregoing constitution, in addition to the
operation and effect described above, the industry and/or company
of the investor's interest can be arbitrarily designated upon
selecting the optimum stock portfolio.
[0013] Incidentally, the term "industry" as used herein is not
limited to the case of indicating the business industry as used
generally, and also refers to an arbitrary company group. For
example, a group classified by the type of technology, merchandise
or product; or a group classified based on the International Patent
Classification (IPC) as the patent classification, FI, F term, and
US Patent Classification (UPC) or US Standard Industry
Classification (SIC).
[0014] (3) In each of the foregoing stock portfolio selection
devices, as the company ranking creation unit, it is desirable to
provide an index selection unit for selecting a prescribed number
of corporate valuation indexes so as to contain at least one
intellectual asset related index from the corporate valuation index
related data acquired with the data acquisition unit; and a
principle component analysis unit for performing principle
component analysis with the corporate valuation index selected by
the index selection unit and calculating the principle component
score of each company.
[0015] According to the foregoing constitution, upon selecting a
stock-for-portfolio company, a selection is made from the corporate
valuation index related data so as to contain at least one
intellectual asset related index. Therefore, in addition to the
respective operations and effects described above, the intellectual
assets accumulated based on R&D activities and the potential
competitive power as the organization and personnel for creating
intellectual assets can be valuated appropriately, and companies
expected to increasing their profitability can be appropriately
selected.
[0016] In addition, since a company ranking can be created based on
the principle component analysis, stock-for-portfolio candidate
companies can be objectively selected without depending on
arbitrariness.
[0017] (4) In each of the foregoing stock portfolio selection
devices, as the company ranking creation unit, it is preferable to
provide a factor analysis unit for performing factor analysis to
extract factor with the corporate valuation index related data
acquired by the data acquisition unit and uniting the corporate
valuation index based on the factor; a multiple regression analysis
unit for performing multiple regression analysis based on the
factor extracted by the factor analysis unit and the profit related
index representing various profits such as intellectual asset
related profits, and selecting the corporate valuation index based
on the factor showing the statistical significance in relation to
the profit related index; and a principle component analysis unit
for performing principle component analysis with the corporate
valuation index selected by the multiple regression analysis unit
and calculating principle component score of each company.
[0018] According to the foregoing constitution, upon selecting a
stock-for-portfolio company, corporate valuation is performed upon
selecting a factor showing the statistical significance in relation
to the profit related index such as intellectual asset related
profits. Therefore, the indexes are made comprehensive upon
clarifying the structure of what is contributing to the various
profits such as the intellectual asset related profits of the
company. Thus, in addition to the respective operations and effect
described above, stock-for-portfolio candidate companies can be
objectively selected based on the corporate valuation indeed
without depending on arbitrariness.
[0019] (5) In each of the foregoing stock portfolio selection
devices, as the company ranking creation unit, it is preferable to
provide a covariance structure analysis unit for performing
covariance structure analysis with the corporate valuation index
containing the intellectual asset related index as observed
variable so as to perform corporate valuation to the respective
companies.
[0020] According to the foregoing constitution, in addition to the
foregoing operations and effects, the causal structure among
abstract elements that cannot be directly observed with covariance
structure analysis can be comprehended and valuated. Further, by
making various indexes such as the intellectual asset related index
an observed variable, it will be possible to comprehensively
valuate companies that are promoting the management strategy of
such intellectual assets and linking this to the improved
profitability of the company. Moreover, it will be possible to
valuate companies multilaterally per index constituting the
observed variable.
[0021] (6) In each of the foregoing stock portfolio selection
devices, it is desirable that the investment ratio selection unit
distributes investment funds equally to the stock of the respective
companies selected by the stock-for-portfolio selection unit.
[0022] The potential value of the company is appropriately valuated
upon containing at least one intellectual asset related index from
the corporate valuation index related data at the stage of
selecting the stock-for-portfolio company. Therefore, by equally
distributing the invested funds, in addition to the respective
operations and effects described above, a highly concise and
profitable stock portfolio can be created.
[0023] (7) In each of the foregoing stock portfolio selection
devices, as the investment ratio selection unit, it is desirable to
provide the following; that is, a theoretical stock price
calculation unit for calculating the theoretical stock price of the
respective companies selected by the stock-for-portfolio selection
unit; a first parameter calculation unit for calculating first
parameters of the theoretical excess profit in relation to the
market stock price of the respective companies, theoretical
sensitivity of the stock price of the respective companies in
relation to the fluctuation of the market stock price, and
theoretical residual showing an independent price movement of the
stock of the respective companies based on said theoretical stock
price; an expected return calculation unit for calculating the
expected return of the stock for portfolio based on the first
parameters; a risk calculation unit for calculating the risk of the
stock for portfolio based on the first parameters; an efficient
frontier derivation unit for deriving the efficient frontier by
calculating the share of portfolio of the stock for portfolio in
relation to the value of the respective expected returns so as to
make the value of the expected return a fixed value; a risk-free
rate data acquisition unit for acquiring the risk-free rate data; a
capital market line derivation unit for deriving a capital market
line through a fixed point of the risk-free rate and tangent to the
efficient frontier; an optimum share of portfolio calculation unit
for calculating the share of portfolio of the stock for portfolio
in the contact point of the efficient frontier and the capital
market line; and a fund investment ratio calculation unit for
calculating the fund investment ratio in relation to the stock of
the respective companies forming the stock for portfolio based on
the optimum share of portfolio.
[0024] According to the foregoing constitution, by calculating the
expected return and risk of each stock of the respective companies
of the stock for portfolio, in addition to the respective
operations and effects described above, it will be possible to
select an investment ratio in the contact point of the capital
market line and efficient frontier. Further, by valuating, with the
theoretical stock price, the potential competitive power of the
company, it is expected that the distortion of the actual stock
price due to arbitrariness of the market trend or the like
unrelated to the asset value essential to the company will be
eliminated as much as possible. As a result, the stock portfolio
based on the correction of this theoretical stock price, in
comparison to the stock portfolio based on the actual stock price,
will be able to achieve the reduction of relative risks and/or a
relatively high expected return. In other words, it will be
possible to select a more preferable investment ratio.
[0025] (8) In each of the foregoing stock portfolio selection
devices, as the investment ratio selection unit, it is desirable to
provide the following; that is, a theoretical stock price
calculation unit for calculating the theoretical stock price of the
respective companies selected by the stock-for-portfolio selection
unit; a stock price index data acquisition unit for acquiring price
movement data of the stock price index; an individual stock data
acquisition unit for acquiring price movement data of the stock
price of said respective companies; a second parameter calculation
unit for performing comparative analysis of the price movement of
said stock price index and the price movement of the stock price of
said respective companies, and calculating second parameters of the
excess profit of each stock of said respective companies in
relation to the profit of said stock price index, sensitivity of
the stock price of said respective companies in relation to the
price movement of said stock price index, and residual showing an
independent price movement of the stock of said respective
companies which is independent from the price movement of said
stock price index; a correction unit for correcting said second
parameters based on said theoretical stock price; an expected
return calculation unit for calculating the expected return of the
stock for portfolio based on the corrected second parameters; a
risk calculation unit for calculating the risk of the stock for
portfolio based on the corrected second parameters; an efficient
frontier derivation unit for deriving the efficient frontier by
calculating the share of portfolio of the stock for portfolio in
relation to the value of the respective expected returns so as to
make the value of the expected return a fixed value and make the
value of said risk a minimum value; a risk-free rate data
acquisition unit for acquiring the risk-free rate data; a capital
market line derivation unit for deriving a capital market line
through a fixed point of the risk-free rate and tangent to the
efficient frontier; an optimum share of portfolio calculation unit
for calculating the share of portfolio of the stock for portfolio
in the contact point of the efficient frontier and the capital
market line; and a fund investment ratio calculation unit for
calculating the fund investment ratio in relation to the stock of
the respective companies forming the stock for portfolio based on
the optimum share of portfolio.
[0026] According to the foregoing constitution, by calculating the
expected return and risk of each stock of the respective companies
of the stock for portfolio, in addition to the respective
operations and effects described above, it will be possible to
select an investment ratio in the contact point of the capital
market line and efficient frontier. Further, by correcting, with
the theoretical stock price, the parameter calculated based on the
comparative analysis of the price movement of the stock price index
and the price movement of the stock price of the respective
companies and appropriately valuating the potential competitive
power of the company, it is expected that the distortion of the
actual stock price due to arbitrariness of the market trend or the
like unrelated to the asset value essential to the company will be
eliminated as much as possible. As a result, the stock portfolio
based on the correction of this theoretical stock price, in
comparison to the stock portfolio based on the actual stock price,
will be able to achieve the reduction of relative risks and/or a
relatively high expected return. In other words, it will be
possible to select a more preferable investment ratio.
[0027] (9) and (10) In each of the foregoing stock portfolio
selection devices, it is desirable that the theoretical stock price
calculation unit is provided with the following; that is, a total
business income after tax theoretical value calculation unit for
calculating the total business income after tax theoretical value
of a company with corporate valuation index related data containing
the intellectual asset related index; an investment capital cost
calculation unit for calculating the investment capital cost of a
company with the corporate valuation index related data; a
theoretical economic excess profit calculation unit for calculating
the theoretical economic excess profit by deducting the investment
capital cost from the total business income after tax theoretical
value; a discount rate calculation unit for calculating the
discount rate for derivation of the present value of a company with
corporate valuation index related data containing the intellectual
asset related index; a theoretical market value added calculation
unit for calculating the theoretical market value added by dividing
the theoretical economic excess profit by the discount rate; an
equity capital calculation unit for calculating the equity capital
of a company with corporate valuation index related data containing
the intellectual asset related index; an estimated aggregate market
value calculation unit for calculating the estimated aggregate
market value of a company by adding the market value added and the
equity capital; and a theoretical stock price calculation unit for
calculating the theoretical stock price by dividing the estimated
aggregate market value by the total outstanding stock volume.
[0028] According to the foregoing constitution, in addition to the
respective operations and effects described above, the R&D cost
related index and intellectual asset related index can be utilized
to calculate the theoretical stock price appropriately reflecting
the potential competitive power of the company. Based on this
result, it will be possible to determine whether the present stock
price of a prescribed company is relatively cheap or relatively
expensive in comparison to the potential corporate value essential
to such company.
[0029] (11) through (30) Further, the present invention also
relates to a stock portfolio selection method including the same
steps as the processing steps to be executed by each of the
foregoing devices, and a computer-readable medium storing a program
for causing a computer to execute the same functions as the
functions provided to each of the foregoing devices.
BRIEF DESCRIPTION OF THE DRAWINGS
[0030] FIG. 1 is a diagram showing a configuration example of the
stock portfolio selection system employing the stock portfolio
selection device according to the present embodiment;
[0031] FIG. 2 is a block diagram showing the configuration of the
stock portfolio selection device 30;
[0032] FIG. 3 is a flowchart showing the processing steps of the
stock portfolio selection device 30;
[0033] FIG. 4 is a chart illustrating the business/management
related index (No. 1);
[0034] FIG. 5 is a chart illustrating the business/management
related index (No. 2);
[0035] FIG. 6 is a chart illustrating the R&D related
index;
[0036] FIG. 7 is chart illustrating the intellectual asset related
index (No. 1);
[0037] FIG. 8 is a chart illustrating the intellectual asset
related index (No. 2);
[0038] FIG. 9 is a chart illustrating the intellectual asset
related index (No. 3);
[0039] FIG. 10 is a diagram showing an example of a screen for
selecting the industry, company and index;
[0040] FIG. 11 is a flowchart showing the processing steps for
performing the principle component analysis;
[0041] FIG. 12 is a chart showing the characteristic vector of the
principle component analysis;
[0042] FIG. 13 is a concentration type company ranking
corresponding to principle component 1;
[0043] FIG. 14 is a diversification type company ranking
corresponding to principle component 2;
[0044] FIG. 15 is a flowchart of the factor analysis
processing;
[0045] FIG. 16 is a chart showing the factor loading,
characteristic value and cumulative contribution ratio;
[0046] FIG. 17 is a chart showing a list of factors;
[0047] FIG. 18 is a flowchart of the multiple regression analysis
processing;
[0048] FIG. 19 is a chart showing a list of the multiple regression
analysis;
[0049] FIG. 20 is a diagram showing the relationship of the index
and factor;
[0050] FIG. 21 is a chart showing a list of the principle component
analysis;
[0051] FIG. 22 is a comprehensive index ranking based on the
principle component analysis;
[0052] FIG. 23 is a flowchart of the covariance structure analysis
processing;
[0053] FIG. 24 is a path diagram showing the relationship of the
intellectual property strategic management model;
[0054] FIG. 25 is a chart showing the company ranking based on the
analysis of the intellectual property strategic management
model;
[0055] FIG. 26 is a chart showing the company ranking based on the
analysis of the intellectual property strategic management
model;
[0056] FIG. 27 is a chart showing the company ranking based on the
analysis of the intellectual property strategic management
model;
[0057] FIG. 28 is a chart showing the company ranking based on the
analysis of the intellectual property strategic management
model;
[0058] FIG. 29 is a chart showing the company ranking based on the
analysis of the intellectual property strategic management
model;
[0059] FIG. 30A is a scatter plot of the analysis of the
intellectual property strategic management model;
[0060] FIG. 30B is a chart showing a company ranking based on a
plurality of indexes representing patent features.
[0061] FIG. 31A is a scatter plot of the analysis of the
intellectual property strategic management model;
[0062] FIG. 31B is a chart showing a company ranking based on a
plurality of indexes representing patent features.
[0063] FIG. 32 is a flowchart showing the selection operation of
the investment ratio;
[0064] FIG. 33 is a diagram showing the price movement data of the
index;
[0065] FIG. 34 is a diagram showing the price movement data of
individual stock;
[0066] FIGS. 35A and 35B are diagrams showing an example of the
calculated .alpha..sub.i, .beta..sub.i, .epsilon..sub.i;
[0067] FIG. 36 is a flowchart showing the processing steps of
calculating the theoretical stock price;
[0068] FIG. 37 is a flowchart showing the processing steps of
calculating the total business income after tax theoretical
value;
[0069] FIGS. 38A and 38B are diagrams showing an example of the
results of the factor analysis and multiple regression
analysis;
[0070] FIG. 39 is a diagram showing an example of the results of
the multiple regression analysis;
[0071] FIG. 40 is a diagram showing an example of the results of
the regression line of the ROA .beta. in relation to the
factor;
[0072] FIG. 41 is a diagram showing an example of the calculated
theoretical stock price;
[0073] FIG. 42 is a list of the calculation results of the
theoretical stock price;
[0074] FIG. 43 is a diagram showing an example of .alpha..sub.i,
.beta..sub.i, .epsilon..sub.i and .alpha..sub.i', .beta..sub.i',
.epsilon..sub.i';
[0075] FIG. 44 is a diagram showing an example of the efficient
frontier and capital market line;
[0076] FIG. 45 is a diagram showing an example of the efficient
frontier and capital market line;
[0077] FIG. 46 is a diagram showing an example of the theoretical
addition ratio of each stock of the stock portfolio in the contact
point;
[0078] FIG. 47 is a diagram showing an example of the actual
addition ratio determined from the theoretical addition ratio;
[0079] FIG. 48 is a diagram showing an example of the stock
portfolio corresponding to principle component 1;
[0080] FIG. 49 is a diagram showing an example of the stock
portfolio corresponding to principle component 2;
[0081] FIG. 50 is a diagram showing a comparative example of the
fluctuation ratio of the stock price; and
[0082] FIG. 51 is a diagram showing an example of the return.
DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS
[0083] (1. Configuration of Stock Portfolio Selection Device)
[0084] Embodiments of the present invention are now explained with
reference to FIG. 1 and FIG. 2. FIG. 1 is a diagram showing the
constitution of a stock portfolio selection system 100 containing a
stock portfolio selection device 30 according to the present
embodiment.
[0085] The stock portfolio selection system 100 is constituted from
a stock portfolio selection device 30 and an external database
server 20. The stock portfolio selection device 30 is connected to
the external database server 20 via a communication network 10 such
as the Internet, for instance, or is capable of incorporating
external data from the external database server 20 offline via an
appropriate recording medium.
[0086] Further, the external database 20A stores, for instance, an
industry/company database storing company names based on industry
or alphabetical order; corporate index such as the
business/management related index or R&D related index or
intellectual asset related index; classification of corporate
indexes; various constants and threshold values and determination
results on adequacy based on such threshold value; various types of
information of categories and the like; and stock prices of the
respective companies.
[0087] The stock portfolio selection device 30 is constituted from
a computer such as a personal computer or workstation, and has an
internal database 30A.
[0088] FIG. 2 is a block diagram showing the constitution of the
stock portfolio selection device 30. As shown in FIG. 2, the stock
portfolio selection device 30 has a CPU 301, a ROM 302, a RAM 303,
a recording medium mounting unit 304, a recording medium 305, a
recording medium interface 306, a calendar clock 307, a
transmission/reception means 308, a communication line 309, an
input means 310, an input interface 311, a display means 312, a
display interface 313, a recording means interface 314, a recording
means 315 such as a hard disk (HDD), a printer interface 316, and a
bus 317.
[0089] The CPU 301 controls the overall operation of the stock
portfolio selection device 30 while using the RAM 303 as the work
area according to program information for the stock portfolio
selection device.
[0090] Incidentally, the CPU 301 may execute all processing, or a
plurality of dedicated processing devices may be provided so as to
make the respective processing devices share and execute such
processing.
[0091] The recording medium 305 is detachably mounted to the
recording medium mounting unit 304. Further, the recording medium
mounting unit 304 is connected to the bus 317 via the recording
medium interface 306 which records and reads various types of
information in and from the recording medium 305. Incidentally, the
recording medium 305 is a detachable recording medium of a magnetic
recording system or optical recording system as represented by
semiconductors such as a memory card, MO or magnetic disk. The
recording medium 305 is capable of housing the internal database
30A. Incidentally, the recording medium 305 is also capable of
incorporating external data from the external database server 20
offline.
[0092] The calendar clock 307 is used as a clock means, and is
connected to the bus 317.
[0093] The transmission/reception means 308 is connected to the
external database server 20 with the communication line 309, and it
communicates with the external database server 20 via the
communication network 10, and acquires indexes for corporate
valuation and stock prices of companies from the external database
20A of the external database server 20. The acquired data is stored
in the HDD 315 or recording medium 305 as the internal database
30A. Incidentally, in the stock portfolio selection device 30,
index data may be selected automatically or manually upon acquiring
indexes for corporate valuation and stock prices of companies from
the external database 20A.
[0094] The input means 310 is constituted from the likes of a
keyboard, mouse, tablet or touch panel, and is connected to the bus
317 via the input interface 311. This input means 310 is used for
selecting whether to update data, selecting the industry/company
and selecting the analyzing method in the selection screen (not
shown) of various instructions displayed on the display means
312.
[0095] The display means 312, for instance, is constituted from the
likes of an LCD (Liquid Crystal Display), and is connected to the
bus 317 via the display interface 313. This display means 312
displays the data input from the input means 310 and options of
operational instructions on the screen. Further, the display means
312 displays the results of the calculated theoretical stock price
on the screen.
[0096] The HDD (hard disk) 315 is a recording means storing various
types of information such as the various constants relating to the
processing of the stock portfolio selection device 30 and attribute
information upon communicating with a communication device on a
network; connection information such as URL (Uniform Resource
Locators), gateway information and DNS (Domain Name System);
management/finance information regarding the management of
companies; technical documents concerning patents; patent
information; market value information; and threshold values for
determining the corporate value and determination results of
adequacy based on such threshold value.
[0097] Further, the information stored in the HDD 315 can be read
out via the recording means interface 314, and information can also
be written in the HDD 315. The HDD 315 houses the internal database
30A having recorded thereon various data.
[0098] The printer 31 is connected to the bus 317 via the printer
interface 316. This printer 31, as a printing means, prints the
chart and the like concerning the stock portfolio created by the
stock portfolio selection device 30 on a paper medium or the
like.
[0099] According to the stock portfolio selection system according
to an embodiment of the present invention, it is possible to
perform a comprehensive valuation of companies with a corporate
valuation index containing an intellectual asset related index and
the like. In addition, it is possible to select a company to become
the stock for portfolio candidate, and to create a stock portfolio
enabling the output of the optimum investment ratio. Further,
information on the exchange of stocks and investment ratio can be
acquired easily and accurately.
[0100] (2. Process of Stock Portfolio Selection)
[0101] Next, the processing steps of creating the stock portfolio
with the stock portfolio selection device, method and program are
explained with reference to FIG. 3 to FIG. 47. FIG. 3 is a
flowchart representing the processing steps of the stock portfolio
selection based on the stock portfolio selection system 100. This
processing is realized pursuant to the control of the CPU 301 based
on the information incorporated in the stock portfolio selection
program.
[0102] (2-1. Data Acquisition)
[0103] The stock portfolio selection system 100, foremost, at step
S1, acquires necessary data from the internal database 30A. For
example, corporate index such as the business/management related
index or R&D related index or intellectual asset related index,
or data on the stock prices of the respective companies. FIG. 4 and
FIG. 5 are diagrams showing a list of the business/management
related index, and, for instance, these are indexes of the capital
investment amount, facility investment efficiency and so on. FIG. 6
is a diagram showing a list of the R&D related index, and, for
instance, these are indexes of the R&D cost, R&D intensity
a and so on. FIG. 7 through FIG. 9 are diagrams showing a list of
the intellectual asset related index, and, for instance, these are
indexes of the number of patent applications filed, number of
examination requests filed, or total number of effective patents,
number of claims filed, and so on.
[0104] The internal database 30A stores live data acquired from the
external database 20A, standardized processing data and so on.
[0105] Next, at step S2, whether the update of data is required is
determined. For example, a daily predetermined time is set as the
data update time, and update processing is performed at such time.
Or, data may be updated each time new data is added to the external
database 20A.
[0106] When it is determined that an update is required, at step
S3, updated data is acquired from the external database 20A and
written in the internal database 30A. Then, at step S4,
standardization of data is performed according to formula 1 below
in relation to the data acquired from the external database 20A.
The reason for performing this standardization of data is primarily
for eliminating the gaps of numerical values arising pursuant to
the difference of units and scales among industries or indexes.
(Live Data-Average Live Data)/Standard Deviation (Formula 1)
[0107] Then, the data standardized for each industry is stored in
the internal database 30A. After the standardization of data, the
routine returns to step S1, and acquires the updated data. Next, at
step S2, when it is determined that the update of data is not
required, the routine proceeds to step S5 for the selection of
industry/company.
[0108] At step S5, whether the industry and/or company is to be
selected is determined. Here, when the user determines that the
selection of the industry and/or company is required and inputs
instructions to the effect of selecting the industry and/or
company, at step S6, the selection of the desired industry and/or
specific company is accepted. For example, as shown in FIG. 10, the
user may input the industry name or company name in the input unit
of the industry or company name displayed on the display screen so
as to select the desired industry and specific company. Further,
for instance, by the user may also select the desired industry and
specific company by selecting the option of the industry name and
company name displayed on the display screen. Incidentally, when
desiring to combine a certain industry with another industry, or
when desiring to add a specific company, the stock portfolio can be
created by designating such industries or companies.
[0109] (2-2. Company Valuation)
[0110] Next, at step S7, whether an index is to be selected is
determined. When the user inputs instructions to the effect of
performing index selection, at step S8, selection of the desired
index is accepted. For example, as shown in FIG. 10, the user is
able to select a desired index from the index option displayed on
the display screen.
[0111] Incidentally, upon selecting an index, as a general rule, it
is desirable to include one to three R&D related indexes and
intellectual asset related index, respectively, among the
business/management related index, R&D related index and
intellectual asset related index shown in FIG. 4 to FIG. 9. As a
result, the intellectual assets accumulated based on R&D
activities and the potential competitive power as the organization
and personnel for creating intellectual assets can be valuated
appropriately. Further, based on the strategic utilization of such
intellectual assets and organization/personnel, companies expected
to increasing their overt competitive power and profitability can
be appropriately selected. After the selection of the index,
principle component analysis is performed at step S12.
[0112] (2-2-1. Principle Component Analysis Using Selected
Indexes)
[0113] FIG. 11 is a flowchart representing the processing steps for
performing principle component analysis. Here, principle component
analysis is the method of analysis for extracting a component
common to the observed variable and creating a synthesized
variable. The purpose of performing the principle component
analysis is to generalize the numerous existing indexes and create
one or two comprehensive indexes, and to valuate companies to
become the stock-for-portfolio candidate based on this
comprehensive index.
[0114] When commencing the principle component analysis processing
at step S120, index data is incorporated at step S121. In the
embodiment of the present invention, the total assets R&D
intensity, total assets operating profit ratio, ratio of
oppositions filed (as defendant), years to patent granted (average)
and patent diversification index are selected as the valuation
indexes designated by the user. Incidentally, the indexes to be
selected are not limited to the above, and arbitrary indexes may be
set according to the purpose or nature of analysis.
[0115] Here, the total assets R&D intensity is the ratio in
relation to the total assets of the total R&D cost in each year
of the company. The total assets R&D intensity is used for
measuring the scope of the R&D cost viewed from the company's
asset stock. As a result of adding the total assets R&D
intensity, in addition to intellectual assets, it will be possible
to measure the degree of contribution of the comprehensive
intellectual assets potentially possessed by companies. The total
assets R&D intensity is calculated based on the calculation
formula shown in Formula 2 below. Total Assets R&D
Intensity=R&D Cost/Total Assets (Formula 2)
[0116] Next, a total assets operating profit ratio is the ratio in
relation to the total assets of the operating profit; that is, the
accounting business profit obtained from the manufacturing/sales
activities of the company of each year of the company. This is an
index representing how much the total assets containing
intellectual assets contributed to the profit. The total assets
operating profit ratio is calculated with the calculation formula
shown in Formula 3 below. Total Assets Operating Profit
Ratio=Operating Profit/Total Assets (Formula 3)
[0117] Next, the ratio of oppositions filed (as defendant) is the
ratio of cases where a patent opposition or invalidation trial was
filed against one patent in each year of the company. This is an
index representing the quality of the patents acquired by the
respective companies. In an embodiment of the present invention,
the number of cases per one patent is used to eliminate the
influence of the corporate size. The ratio of oppositions filed (as
defendant) is calculated with the calculation formula shown in
Formula 4 below. Ratio of Oppositions Filed (as Defendant)=Number
of Patents Subject to Oppositions or Invalidation Trials in Each
Year/Number of Patents Granted to the Company in Same Year (Formula
4)
[0118] Next, years to patent granted (average) is an index
representing the average number of years from filing to
registration regarding a patent granted in each year of a company.
As a result of employing the years to patent granted (average), it
will be possible to know the purpose of the company acquiring the
patent or the nature of the acquired patent. For example, an
examination request is filed in a relatively short time in relation
to strategic applications aiming for an early registration.
Therefore, if the average number of years required from the filing
to registration of a certain patent is short, it can be determined
that it is highly likely of this patent being effectively utilized
and producing results in business. The years to patent granted
(average) is calculated with the calculation formula shown in
Formula 5 below. Years to Patent Granted (Average)=.SIGMA.(Patent
Registration Date-Patent Filing Date)/Number of Patents
Granted/Annual Number of Days (Formula 5)
[0119] Next, a patent diversification index is the composition
ratio (share) of the number of claims filed by International Patent
Classification (IPC) subclasses among the overall claims filed in
the patent applications of each year of the company. As a result of
employing the patent diversification index, it will be possible to
measure the degree of concentration and diversification of the
technical development field of the company. The patent
diversification index is calculated with the calculation formula
shown in Formula 6 below. Patent Diversification
Index=1-.SIGMA.(Claims Filed by International Patent
Classifications of the Company/Total of Claims Filed of the
Company).sup.2 (Formula 6)
[0120] After the indexes are selected, principle component analysis
is performed for the purpose of creating a comprehensive index by
combining the selected indexes. Foremost, at step S122, coefficient
.alpha..sub.i of the linear combination for synthesizing the
selected index x.sub.i and principle component Z are calculated.
Here, principle component Z is the quantity of information
calculated based on coefficient .alpha..sub.i calculated such that
the variance will become maximum. Specifically, in light of the
linear combination of the selected index x.sub.i, coefficient
.alpha..sub.i of the respective indexes is determined such that the
variance of such linear combination will become maximum. Here, in
order to prevent the variance from diverging infinitely, the value
of coefficient .alpha..sub.i is calculated so that the variance
will become maximum under the restriction that the sum of squares
of the coefficient is 1. Specifically, this is as shown in Formula
7 below.
Z=.alpha..sub.1x.sub.1+.alpha..sub.2x.sub.2+.alpha..sub.3x.sub.3+ .
. . +.alpha..sub.nx.sub.n (Constraint Condition)
.alpha..sub.1.sup.2+ . . . +.alpha..sub.n.sup.2=1 (Formula 7)
[0121] Based on Formula 7, coefficient .alpha..sub.i (i=1 . . . n)
is calculated, and principle component Z is sought based on the
calculated coefficient. The value of coefficient .alpha..sub.i (i=1
. . . n) is sought by calculating the characteristic value and
characteristic vector of the linear combination of Formula 7 above
with the variance-covariance matrix or correlation matrix. Here,
the characteristic vector represents the coefficient, and the
characteristic value represents the quantity of information
containing the principle component.
[0122] Next, the principle component to be adopted is selected. In
the principle component analysis, principle components are
calculated to the number of variables. Further, with the principle
component obtained from the principle component analysis, the
larger the characteristic value, the larger the quantity of
information. Thus, generally, principle components are in
descending order of the quantity of information from principle
component 1, principle component 2, principle component 3, . . . ,
principle component n. In an embodiment of the present invention,
principle components where the characteristic value is 1 or more
and the cumulative contribution ratio exceeds 50% are left.
Needless to say, the threshold value is not limited to the above,
and may be set arbitrarily according to the type or nature of
analysis.
[0123] Here, the characteristic value being 1 or more means that
the adopted principle component contains the quantity of
information at least in the same amount as the average quantity of
information held by the selected index. Further, a contribution
ratio is a ratio representing to what degree the respective
principle components are able to explain the overall index. The
contribution ratio is calculated by dividing the characteristic
value of the respective principle components by the sum of the
characteristic values of all principle components. And, the
cumulative contribution ratio is calculated by adding the
contribution ratios of the respective principle components in
deceasing order. The cumulative contribution ratio is a ratio
representing to what degree the quantity of information of the
overall index is able to explain the overall principle components
adopted.
[0124] And, among the principle components where the characteristic
value exceeds 1, the principle component in which the
characteristic value is largest and the contribution ratio is
largest will be the first principle component. Further, a principle
component in which the characteristic value exceeds 1 and the
cumulative contribution ratio is 50% or more is selected, and this
will be the second principle component.
[0125] FIG. 12 is a list representing the characteristic vector and
characteristic value of the principle component analysis, and the
contribution ratio and cumulative contribution ratio. In an
embodiment of the present invention, only the principle component
in which the characteristic value exceeds 1 is extracted. According
to the analysis, principle component 1, which is the first
principle component, has a contribution ratio of 29% or more.
Further, principle component 2, which is the second principle
component, has a contribution ratio of 24% or more.
[0126] Next, the comprehensive index is determined at step S123.
The numerical value (characteristic vector) calculated for each
index in the list of FIG. 12 represents the value of the
coefficient of each index. Foremost, with respect to principle
component 1, the coefficient of "total assets R&D intensity",
"total assets operating profit ratio" and "ratio of oppositions
filed (as defendant)" show positive, and the coefficient of "years
to patent granted (average)" and "patent diversification index
(average)" show negative. What is evident from this result is that
even though the ratio in relation to the total assets of the
R&D cost is average, companies in which the technology and
patents are concentrated, number of years to registration is short,
and the total assets operating profit ratio is high are valuated
highly. In other words, principle component 1 represents the
characteristics of a company that is concentrating its intellectual
assets including patents to a single field. Based on this result,
principle component 1 is determined as the comprehensive index
representing the "intellectual assets concentration type".
[0127] With principle component 2, the coefficient of all indexes
is positive. What is evident from this result is that companies in
which the technology and patents are diversified, number of years
to registration is long, and the total assets operating profit
ratio is low are valuated highly. In other words, principle
component 2 represents the characteristics of companies seeking to
expand the intellectual assets stock including patents. Based on
this result, principle component 2 is determined as the
comprehensive index representing the "intellectual assets
diversification type".
[0128] Next, at step S124, the total score of each company relating
to principle component 1 and principle component 2 is calculated.
The total score of each company is calculated based on the
calculation formation shown with Formula 8 and Formula 9 below.
Z.sub.1=0.1633.times.Total Assets R&D
Intensity+0.6718.times.Total Assets Operating Profit
Ratio+0.5328.times.Ratio of Oppositions Filed (as
Defendant)-0.0491.times.Years to Patent Granted-0.4855.times.Patent
Diversification Index (Formula 8)
[0129] In the formula, Z.sub.1 is the principle component score of
the "intellectual assets concentration type" of principle component
1, and the numerical values placed in front of the respective
indexes are the values of the coefficient of the respective indexes
in principle component 1 illustrated in FIG. 12.
Z.sub.2=0.6213.times.Total Assets R&D
Intensity+0.0623.times.Total Assets Operating Profit
Ratio+0.1736.times.Ratio of Oppositions Filed (as
Defendant)+0.6342.times.Years to Patent Granted+0.4216.times.Patent
Diversification Index (Formula 9)
[0130] In the formula, Z.sub.2 is the principle component score of
the "intellectual assets diversification type" of principle
component 2, and the numerical values placed in front of the
respective indexes are the values of the coefficient of the
respective indexes in principle component 2 illustrated in FIG.
12.
[0131] FIG. 13 is a ranking chart of the corporate valuation
corresponding to the "intellectual assets concentration type" of
principle component 1, and FIG. 14 is a ranking chart of the
corporate valuation corresponding to the "intellectual assets
diversification type" of principle component 2.
[0132] (2-2-2. Factor Analysis and Multiple Regression Analysis
before Principle Component Analysis)
[0133] (2-2-2-1. Factor Analysis)
[0134] Returning once again to the flowchart of FIG. 3 representing
the processing steps of the stock portfolio selection, the steps
are resumed. Foremost, at step S7, when it is determined that an
index is not to be selected, at step S9, whether covariance
structure analysis, or factor analysis and multiple regression
analysis are to be performed as the method of analysis is
determined. At step S9, when the user inputs instructions for
performing factor analysis and multiple regression analysis, the
routine proceeds to step S10, and performs factor analysis.
[0135] Here, factor analysis processing is explained with reference
to the flowchart of FIG. 15. Factor analysis is the method of
searching for a common factor hiding behind a certain observation
data and which prescribes the same. The purpose of performing
factor analysis is to clarify the characteristics and structure of
the indexes by clarifying the potential factors prescribing such
various indexes, and uniting these indexes into the clarified
factors.
[0136] Foremost, at step S100, factor analysis processing is
commenced, and, at step S101, data concerning the index is acquired
from the internal database 30A. Nevertheless, the profit related
index contained in the business/management related index of FIG. 4
and FIG. 5 will be excluded. This is because the profit related
indexes will be used as the target variable in the multiple
regression analysis described later.
[0137] Next, at step S102, whether the narrowing down of indexes is
determined. When the user inputs instructions for narrowing down of
the indexes, at step S103, the correlation matrix of each index is
calculated. And, at step S104, remotely related indexes without any
commonality are removed, and deeply related and strongly associated
indexes are extracted. Thereafter, the routine proceeds to the
calculation of factor loading at step S105.
[0138] When the narrowing down of indexes is not performed in
advance at step S102, the routine proceeds directly to the
calculation of factor loading at step S105. Here, factor loading is
the value showing the strength of influence against the observed
variable of the factor. In the factor analysis, the primary
objective is to calculate this factor loading. As the calculation
method of this factor loading, a principal factor method or maximum
likelihood method, least square method, generalized least square
method and the like are known. In an embodiment of the present
invention, the principal factor method is employed. The principal
factor method is a method of calculating the factor loading in
order from the first factor such that the factor contribution of
the respective factors will become maximum. Incidentally, the
calculation method of the factor loading may be arbitrarily
selected according to the objective or nature of the
observation.
[0139] Next, at step S106, whether it is difficult to interpret the
factors based on the calculated factor loading is determined. When
the user determines that it is difficult to interpret the factors
and makes an input to such effect, factor rotation is performed at
step S107 in order to search for the solution capable of optimally
interpreting the data. The method of rotation may be an orthogonal
rotation or an oblique rotation, and this may be arbitrarily
selected according to the objective and nature of the observation.
In an embodiment of the present invention, Varimax rotation, which
is a type of orthogonal rotation, is employed. Varimax rotation is
a rotation method of rotating the factors such that those with the
factor loading of each factor closest to 0 and those with a large
absolute value will increase, and thereby searching for the degree
of contribution of the factor. And, after the factor rotation, the
routine returns to step S105 and calculates the rotated factor
loading. Incidentally, at step S106, when it is determined that it
is not difficult to interpret the factors, factor rotation is not
performed, and the initial solution of the calculated factor
loading is used without change.
[0140] Next, at step S108, the characteristic value, factor
contribution, factor contribution ratio and cumulative contribution
ratio of each factor is calculated based on the calculated factor
loading. A characteristic value is the numerical value output when
calculating the initial solution of the factor loading. The
characteristic value is calculated for each factor as though there
is the same number of factors as the number of indexes. As a
result, an arbitrary minimum characteristic value will be selected
as the criterion for determining the number of factors to be
adopted. Further, factor contribution is an amount of a certain
factor capable of explaining the data, and is calculated for each
factor based on the sum of squares of the factor loading of each
index. Incidentally, at the point in time of calculating the
initial solution of the factor loading, the characteristic value
and the factor contribution value are the same. Further, a factor
contribution ratio is the ratio of a certain factor that explains
the overall data, and is calculated by dividing the factor
contribution by the number of indexes. Finally, a cumulative
contribution ratio is a value in which the factor contribution is
accumulated pursuant to the increase of factors, and is an index
showing up to how many factors are able to explain data to what
degree.
[0141] Next, at step S109, the number of factors is determined
based on the calculated characteristic value, factor contribution
and cumulative contribution ratio. Theoretically, the number of
factors is represented for the number of indexes. Thus, in an
embodiment of the present invention, as the criterion upon
determining the number of factors, a judgment criterion in which
the characteristic value is 1 or more and the cumulative
contribution ratio is 70% or more is used. As a result, 5 factors
are selected in an embodiment of the present invention.
[0142] FIG. 16 is a list showing the factor loading, characteristic
value, factor contribution and cumulative contribution ratio of the
5 factors selected in an embodiment of the present invention.
Incidentally, the judgment criterion is not limited to the above,
and this may be arbitrarily set according to the objective and
nature of the observance.
[0143] Next, at step S110, the factor content is determined.
Specifically, the significance of the 5 factors selected at step
S109 is interpreted based on the factor loading calculated for each
index regarding factors 1 to 5. Explanation on the significance and
factor name of each of the factors 1 to 5 is as per the list of
FIG. 17.
[0144] Foremost, when viewing factor 1, among the index
constituting factor 1, it is evident that the indexes having a
large factor loading are the following 5 indexes; namely, the
examination request ratio (to patent application stock), patent
granted ratio (to application stock), years to renewal patent
granted expiration (average), years to examination request
(average), and years to patent granted (average). When interpreting
the significance of factor 1 from the above, it could be said that
factor 1 is a factor that improves the examination request ratio
(to patent application stock) and patent granted ratio (to
examination requested stock) by shortening the years to examination
request and years to patent granted, and thereby prolongs the
effective term of the patent. In other words, factor 1 can be
interpreted to be a factor that quickly acquires and maintains a
patent right. Based on this interpretation result, the factor name
of factor 1 will be called "patent time management".
[0145] Similarly, the significance and factor name of the
respective factors are also determined according to the foregoing
procedures for factor 2 to factor 5 as well. Although the
explanation is omitted to avoid redundancy, details are as per the
list of FIG. 17. Incidentally, the definition and calculation
method of the respective indexes shall be as per the lists of FIG.
4 to FIG. 9.
[0146] (2-2-2-2. Multiple Regression Analysis)
[0147] Returning once again to the flowchart of FIG. 3 representing
the processing steps of the stock portfolio selection, after
performing the factor analysis at step S10, multiple regression
analysis processing is performed at step S11. The multiple
regression analysis processing is now explained.
[0148] FIG. 18 is a flowchart representing the processing steps of
the multiple regression analysis. Here, multiple regression
analysis is a method of analyzing to what degree the value of the
target variable can be explained based on the prediction relation
constituted from such target variable and a plurality of
explanatory variables. Incidentally, a target variable and
explanatory variable are sometimes set as a dependent variable and
independent variable according to the objective of analysis.
[0149] The purpose of performing multiple regression analysis is to
verify whether the 5 factors clarified as a result of the foregoing
factor analysis are actually contributing to the profit increase of
the company. Further, among the above, it also specifies the
factors with a high contribution ratio in relation to the profit
and which indexes constitute such factors.
[0150] At step S111, multiple regression analysis processing is
performed. Foremost, at step S112, the profit related index data is
loaded from the list of the profit related index data stored in the
internal database 30A, and the profit related index to be the
target variable is determined. An example of the type and
definition of the profit related index data is as per the profit
related index list contained in the business/management related
index of FIG. 4 and FIG. 5. Incidentally, the profit related index
shown in FIG. 4 and FIG. 5 is primarily related to the business
performance and results of the company, but the profit related
index is not limited to the above, and arbitrary indexes may be set
according to the objective or nature of analysis.
[0151] In an embodiment of the present invention, the profit
related index is represented with an ROA. ROA is the abbreviation
of Return On Asset, and this is also referred to as the total
assets profit ratio. ROA is the ratio obtained by dividing the
current profit by the total assets, and is an index for measuring
how much profit was gained from the total assets. The reason the
index for comprehensively valuating the business performance of
companies is represented with ROA is because ROA is an appropriate
achievement index for representing the annual assets efficiency of
a company. Although there is a similar index referred to as ROE
(Return On Equity), ROE is not adopted in an embodiment of the
present invention. The reason for this is because ROE is used for
measuring the profit per equity capital, and, in order to the
company to actually gain profit, it must utilize outside capital in
addition to the equity capital, and it has been determined that it
is difficult to measure the true assets efficiency of companies
with ROE.
[0152] Further, in an embodiment of the present invention, instead
of ordinary ROA, a total assets ratio of an amount obtained by
adding the "operating profit" and "patent royalty income" in each
year of the respective companies (hereinafter referred to as "ROA
.delta.") is set as the target variable. The calculation formula of
ROA .delta. is as shown in Formula 10 below. ROA .delta.=(Operating
Profit+Patent Royalty Income)/Total Assets (Formula 10)
[0153] The reason ROA .delta. is used as the target variable is,
firstly, because intellectual assets such as patents are a part of
the assets owned by the company, and it is an index suitable for
measuring how much profit was gained by utilizing tangible assets
and intellectual assets such as patents. Secondly, in order to
appropriately valuate the potential competitive power of companies
and to measure to what degree such potential competitive power is
connected to the overt competitive power and profit, it is
necessary to incorporate the profits from intellectual assets such
as patents generated as a result of R&D. Incidentally, the
patent royalty income is recorded as non-operating income in terms
of accounting, but some companies may not have such account title
in the non-operating profit. In such a case, the patent royalty
income is not added to the operating profit as it will be
determined to be already incorporated in the operating profit, or
not indicated since it is an amount that will not significantly
influence the financial statements.
[0154] Next, at step S113, the 5 factors extracted as a result of
the factor analysis performed at step S10 are read from the
internal database 30A. In an embodiment of the present invention,
as shown in FIG. 19, the 5 factors of factor 1 (patent time
management), factor 2 (productivity), factor 3 (patent/technology
share), factor 4 (R&D), and factor 5 (concentration of
patent/technology) are adopted.
[0155] Next, at step S114, the profit related index ROA .delta. is
made the target variable, and foregoing factors 1 to 5 are made the
explanatory variables upon performing multiple regression analysis,
and the partial regression coefficient, standard partial regression
coefficient, and t value of the respective factors (explanatory
variables) are calculated.
[0156] Specifically, foremost, the multiple regression equation
represented with Formula 11 below is hypothesized for calculating
the value of the ROA .delta. (target variable) with the information
of the respective factors (explanatory variables).
Y.sub.j=.alpha.+.beta..sub.1x.sub.1j+.beta..sub.2x.sub.2j+ . . .
+.beta..sub.5x.sub.5j+.epsilon..sub.j (j=1 . . . N) (Formula
11)
[0157] In the foregoing formula, Y.sub.j is the target variable,
and x.sub.ij (i=1 . . . 5) is the explanatory variable. Further,
.alpha. and .beta..sub.i (i=1 . . . 5) are parameters to be
estimated from the observation data of the explanatory variable
x.sub.ij, .alpha. is the constant term, and .beta..sub.i is the
partial regression coefficient. .epsilon..sub.j (j=1 . . . N. N
represents number of samples) is the residual of the observed value
of target variable Y.sub.j and the theoretical value, and
represents portions that are not explained with the explanatory
variable x.sub.ij. Incidentally, with respect to explanatory
variable x.sub.ij, since appropriate analysis is performed upon
eliminating the influence of the difference among indexes relating
to the unit or scale of indexes, it is desirable to use
standardized data. The standardization of data is performed with
foregoing Formula 1.
[0158] Next, the values of constant term .alpha. and partial
regression coefficient .beta..sub.i contained in Formula 11 are
calculated with the estimation method referred to as the least
square method. The least square method is a method of minimizing
the sum of squares of the residual of the observed value and
theoretical value. In the case of Formula 11 above, foremost, when
the value of explanatory variable x.sub.ij is provided, the
theoretical value of target variable Y.sub.j will be
.alpha.+.SIGMA..sub.i=1.sup.5(.beta..sub.ix.sub.ij), and,
therefore, residual .epsilon..sub.j, which is the difference
between the theoretical value and observed value, will be
calculated with Formula 12 below.
.epsilon..sub.j=Y.sub.j-{.alpha.+.SIGMA..sub.i=1.sup.5(.beta..sub-
.ix.sub.ij)} (Formula 12)
[0159] Next, the sum of squares of the residual is calculated with
Formula 13 below.
Q=.SIGMA..sub.j=1.sup.N[{Y.sub.j-.alpha..SIGMA..sub.i=1.sup.5(.beta..sub.-
ix.sub.ij)}.sup.2] (Formula 13)
[0160] In the foregoing formula, Q is the value calculated as the
sum of squares of the residual. Since the least square method is a
method of minimizing the sum of squares of the residual, it is
necessary to minimize the value of Q in Formula 13 in order to
calculate constant term .alpha. and partial regression coefficient
.beta..sub.i. And, the values of constant term .alpha. and partial
regression coefficient .beta..sub.i are sought by performing
partial differentiation to Formula 13 above respectively with
.alpha. and .beta..sub.i, and solving the simultaneous equations
equaling 0. Specifically, this is as per Formula 14 and Formula 15
below.
.differential.Q/.differential..alpha.=-2.SIGMA..sub.j=1.sup.N{Y.sub.j-.al-
pha.-.SIGMA..sub.i==1.sup.5(.beta..sub.ix.sub.ij)}=0 (Formula 14)
.differential.Q/.differential..beta..sub.i=-2.SIGMA..sub.j=1.sup.N[x.sub.-
ij{Y.sub.j-.alpha.-.SIGMA..sub.i=1.sup.5(.beta..sub.ix.sub.ij)}]=0
(Formula 15)
[0161] Incidentally, the value of the partial regression
coefficient will change significantly when the unit or scale of the
explanatory variable is changed. Accordingly, in an embodiment of
the present invention, pursuant to the standardization of data of
the index to be used in explanatory variable x.sub.ij, it is
necessary to separately calculate the partial regression
coefficient corresponding to the standardized explanatory variable
(hereinafter referred to as the "standard partial regression
coefficient")
[0162] After calculating the partial regression coefficient (and
standard partial regression coefficient) .beta..sub.i, at step
S115, the significance of the respective factors used in
explanatory variable x.sub.ij is verified. Specifically, foremost,
a hypothesis that explanatory variable x.sub.ij is absolutely
ineffective in the prediction of target variable Y.sub.j
(hereinafter referred to as the "null hypothesis"). This null
hypothesis is represented by the partial regression coefficient
(and standard partial regression coefficient) .beta..sub.i being 0.
Incidentally, as the hypothesis to be used for verification, in
addition to this null hypothesis, there is an alternate hypothesis
of performing verification on the premise that the explanatory
variable is effective in the prediction of the target variable. Any
of these hypotheses may be used according to the objective and
nature of analysis. Further, verification based on both of these
hypotheses may be conducted, and one of such hypotheses may be
adopted.
[0163] Next, in order to verify whether the hypothesis of partial
regression coefficient (and standard partial regression
coefficient) .beta..sub.i=0, t value is calculated based on
.beta..sub.i=0. t value is the numerical value showing the
statistical reliability of the value of the calculated explanatory
variable.
[0164] After the calculation of t value, the position occupied by
the calculated t value on the t distribution is specified. Here, t
distribution is a probability density variable for estimating the
scope of the average value of the parent population from a certain
finite number of sample data.
[0165] Next, a boundary line for determining whether to adopt or
reject the hypothesis of .beta..sub.i=0 is set on the t
distribution. This boundary line is referred to as the significant
level. A significant level is represented based on the probability
of the calculated t value occurring on the t distribution. In an
embodiment of the present invention, the significant level is set
to 5%. This shows that the hypothesis will be rejected when the
probability of the calculated t value occurring on the t
distribution is within the range of 5%. The area for accepting the
hypothesis with this significant level as the criterion is referred
to as the adopted area, and the area for rejecting the hypothesis
is referred to as the rejected area.
[0166] Then, as a result of the verification, if it is specified
that the t value calculated based on the hypothesis of
.beta..sub.i=0 occupies the position within the significant level
of 5%, the hypothesis of .beta..sub.i=0 will be rejected. In other
words, here, partial regression coefficient .beta..sub.i pertaining
to explanatory variable x.sub.ij is statistically significant, and
it is determined that the factors employed in explanatory variable
x.sub.ij are contributing to the explanation of target variable
Y.sub.j. Incidentally, the criteria for determining the
significance of the explanatory variable is not limited to only the
t value, and this may be determined with the p value which
represents the probability of the t value exceeding the significant
level with an absolute value.
[0167] Next, at step S116, the contribution ratio in relation to
target variable Y.sub.j of the respective factors (explanatory
variables) is calculated. The contribution ratio is calculated by
dividing the standard partial regression coefficient of the
respective factors calculated at step S114 by the total standard
partial regression coefficients of the respective factors. And,
thereafter, the calculated value is displayed as a percentage.
[0168] Finally, at step S117, the adaptation of the multiple
regression equation employing the analysis according to an
embodiment of the present invention is verified. The determination
coefficient is used as the scale for verifying the adaptation of
the multiple regression equation. A determination coefficient is an
index representing to what degree of the provided multiple
regression equation is able to explain the fluctuation of the
observed value of the target variable. Here, fluctuation is the
variation from the average value of the respective points. The
determination coefficient is represented with R.sup.2, and is
calculated by dividing the fluctuation of the theoretical value of
target variable Y.sub.j derived from the multiple regression
equation by the fluctuation of the observed value of Y.sub.j.
Specifically, this is as per Formula 16 below. Determination
Coefficient R.sup.2=Fluctuation of Theoretical Value of
Y.sub.j/Fluctuation of Observed Value of Y.sub.j (Formula 16)
[0169] Nevertheless, the value of determination coefficient R.sup.2
representing the adaptation of the multiple regression equation
will increase pursuant to the increase of the explanatory variable.
Although this appears to apply favorably, this does not necessarily
mean that the power of explanation of the multiple regression
equation is high. Thus, in order to supplement the defect of this
determination coefficient R.sup.2, the adaptation of the multiple
regression equation is verified with determination coefficient
R.sup.2' of a corrected degree of freedom. Determination
coefficient R.sup.2' flexibility corrected is a value obtained by
giving consideration not only to the explanatory variable for
determining the multiple regression equation, but also to the
number of variables output as samples, and thereby adjusting the
determination coefficient R.sup.2. Further, the flexibility (degree
of freedom) is a value obtained by subtracting the average value
calculated from the sample from the number of samples. For
instance, when the number of samples is N, if one average value is
determined, the final sample among the N samples will be
automatically determined, and the value that may be freely selected
among the output samples will be N-1 samples.
[0170] FIG. 19 is a list of the multiple regression analysis. The
list is constituted from the values of the partial regression
coefficient, standard partial regression coefficient, t value and
contribution ratio calculated for each of the 5 factors that are
extracted.
[0171] Foremost, the adaptation of the multiple regression equation
adopted upon performing the analysis is viewed. Determination
coefficient R.sup.2' flexibility corrected is 0.7572, and this
shows that that adopted multiple regression equation has a high
degree of explanation.
[0172] Next, whether each of the factors is statistically
significant is viewed. According to the calculation result of t
value, it is evident that factor 3 (productivity), factor 4
(concentration of patent/technology) and factor 5 (R&D) are
statistically significant. In addition, the foregoing factors are
statistically significant even when verified at a significant level
of 1%.
[0173] And, at step S118, based on the foregoing analysis, a
relationship diagram showing the relation of the profit related
index ROA .delta. and factors showing the statistical significance,
and the relationship of these factors and the various indexes
constituting such factors is created. The created relationship
diagram is stored in the internal database 30A.
[0174] FIG. 20 shows the created relationship diagram. In this
relationship diagram, ROA .delta., factors showing statistical
significance, and indexes constituting the respective factors are
shown, and the contribution ratio and factor loading based on the
standard partial regression coefficient are indicated above the
arrows. According to this relationship diagram, with respect to the
contribution ratio of factors in relation to ROA .delta., it is
evident that factor 3 (productivity) is dominant at 74%. Further,
among the indexes constituting factor 3 (productivity), it is
evident that "labor distribution share (to value added)" works to
lower the productivity. Accordingly, in order to improve the
productivity, it is necessary to suppress "labor distribution share
(to value added)" to a certain degree, and to seek the promotion of
technical innovation shown in "total factor productivity" and
improvement of the management efficiency.
[0175] Further, factor 4 (concentration of patent/technology) has
the next highest contribution ratio in relation to ROA .delta. at
15% after factor 3 (productivity). Further, as indexes constituting
factor 4 (concentration of patent/technology), it is evident that
the factor loading of the index relating to "patent concentration
index" is significant. This fact, for example, is considered to be
based on the fact that the "patent application concentration index"
is reflecting the selection of technical development and degree of
progress of concentration. Further, the factor loading of "patent
concentration index" in relation to factor 4 (concentration of
patent/technology) being large means that increasing the "patent
application concentration index" will prevent imitations by other
companies and improve the asset value of patents, which will
contribute significantly to profits.
[0176] And, factor 5 (R&D) is showing the third highest
contribution ratio in relation to ROA .delta. at 11%. Further, the
highest factor loading among the indexes constituting factor 5
(R&D) is "R&D investment of previous term". This result not
only represents the achievement of the R&D cost of the previous
term, it is considered that the ongoing R&D for many years is
being reflected in current term ROA .delta. as achievements.
Moreover, this result shows that improving the cost effectiveness
of R&D costs such as shortening the period from R&D to
commercialization and merchandizing, and early collection of the
R&D costs will lead to increased profits of the company.
[0177] According to the foregoing analysis, it is evident that
engagements by the company in promoting R&D, increasing the
efficiency thereof, and simultaneously improving the business
productivity will contribute to increased profits. Further, at the
same time, the approach of promoting the "selection and
concentration" of technical/intellectual assets will also
contribute to increased profits. And, these engagements by
companies will be represented as figures in the indexes
constituting the respective factors.
[0178] (2-2-2-3. Principle Component Analysis)
[0179] Returning once again to the flowchart of FIG. 3 representing
the processing steps of stock portfolio selection, after performing
multiple regression analysis at step S11, principle component
analysis processing is performed at step S12. In principle
component analysis, corporate valuation is performed upon creating
a comprehensive index with the indexes constituting the significant
factors obtained as a result of the multiple regression analysis,
and ROA .delta. set in the target variable. Incidentally, the
processing method of principle component analysis is as described
above, and the explanation thereof is omitted.
[0180] FIG. 21 is a list representing the characteristic vector and
characteristic value of the principle component analysis, and the
contribution ratio and cumulative contribution ratio. The
contribution ratio of the first principle component is sufficiently
high at 47.57%, and is also consistent with the results of the
factor analysis and multiple regression analysis. Further, since it
has no gap in the absolute value of the coefficient pertaining to
the indexes as with the second and third principle components,
principle component 1 as the first principle component can be
selected as the comprehensive index. FIG. 22 is a ranking chart of
the corporate valuation corresponding to principle component 1.
[0181] (2-2-3. Covariance Structure Analysis)
[0182] Returning once again to the flowchart of FIG. 3 representing
the processing steps of stock portfolio selection, when the
covariance structure analysis is selected at step S9, covariance
structure analysis processing is performed at step S19 so as to
conduct corporate valuation, and the company ranking is created at
step S13.
[0183] The processing steps of covariance structure analysis are
now explained. Here, covariance structure analysis is a method of
comprehending the complex causal relation between a potential
variable (constructive concept) which is an unobservable element
and an observed variable (actual numerical value) which is an
observable element, or between potential variables, with a
quantitative model, and valuating the ranking and the like based on
such comprehended model. Thereupon, a path diagram may be used to
enable the visual analysis of the relationship of the observed
variable and potential variable.
[0184] As the basic procedure, foremost, a hypothesis on the causal
relation between the variables is established. When the
relationship between developments is well known, a hypothetical
model is created directly. When the relationship between
developments is not well known, a hypothetical model is created
after extracting a factor based on factor analysis.
[0185] Next, a path diagram is created based on the hypothetical
model. And, according to the path diagram, the population parameter
is estimated. Here, a population parameter is a parameter showing
the numerical value representing the situation of the parent
population distribution. As the estimation method of the population
parameter, generally, the least square method or maximum likelihood
estimation method is employed. Thereafter, the relationship between
the variables representing the path diagram is actually digitized
so as to match the sample data as much as possible.
[0186] Next, whether the created hypothetical model coincides with
the data is verified. As the index of reference for verifying the
hypothetical model, a statistic referred to as the adaptation index
(GFI: Goodness of Fit Index or AGFI: Adjusted Goodness of Fit
Index) is used. GFI is used as the criterion of "power of
explanation" of the model regarding how much the hypothetical model
created by the analyzer is able to explain the data. And, closer
the value of GFI is to 1, the fitting of the hypothetical model is
determined to be favorable. Incidentally, in the case of a
complicated model, with GFI, the stability of the estimated value
of the population parameter will become inferior. In such a case,
the adaptation of the model will be verified with AGFI as the
index, which removes the instability of the population parameter
from GFI's power of explanation. If the hypothetical model does not
coincide with the data as a result of verifying the hypothetical
model, the routine returns to the creation of a model diagram, and
repeats the estimation of the population parameter.
[0187] In an embodiment of the present invention, an intellectual
property strategy management (triune management) model is created
as the hypothetical model. Here, an intellectual property strategy
management (triune management) model is a model for inclusively and
comprehensively valuating companies that are associating business
strategy, R&D strategy and intellectual property strategy so as
to improve the total factor productivity and corporate value. Upon
valuating companies, although it is extremely important to analyze
the productivity index such as labor productivity and profit
related index such as ROA, ROE, valuating the value of companies
with only these indexes may lead management in the wrong direction.
This is because these indexes merely show a cross section of the
current business performance of corporate management. In fact, in
order to improve corporate value, companies will depend
significantly on intellectual assets including intellectual assets
such as technology and know-how created by R&D investment and
the like. In light of the above, in corporate valuation, the
analysis and valuation of R&D and intellectual property are
essential. This is the reason for creating such intellectual
property strategy management (triune management) model. Thus, in an
embodiment of the present invention, the relationship (correlation)
of three potential variables (constructive concept) of
"R&D"--"intellectual property"--"business (management/finance)
is hypothesized.
[0188] The processing steps of covariance structure analysis are
now explained with reference to the flowchart of FIG. 23. When
covariance structure analysis is commenced at step S190, whether
the "relationship between developments is well known" is determined
at step S191. Here, when the user makes in input to the effect that
the causal relation between the observed variable and potential
variable is known, the routine proceeds to "hypothesize path
diagram" at step S193.
[0189] When the causal relation between the observed variable and
potential variable is not known in the determination at step S191,
the routine proceeds to the "factor analysis" processing at step
S192. At step S192, in order to discover a potential variable from
a plurality of observed variables, a factor is extracted based on
factor analysis so as to create a hypothetical model. Incidentally,
determination of the number of factors based on factor analysis is
conducted based on the preset cumulative contribution ratio and
characteristic value. In an embodiment of the present invention,
factors are determined with a criterion where the cumulative
contribution ratio is 70% or more, and the characteristic value is
1 or more. Incidentally, the judgment criterion is not limited to
the above, and this may be arbitrarily set according to the
objective and nature of observation.
[0190] Next, in the hypothesis of the path diagram at step S193, a
hypothesis regarding the relationship of the observed variable and
potential variable is created. Next, at the "estimation of
population parameter" at step S194, estimation of the population
parameter; that is, the strength of relationship of the observed
variable and potential variable is estimated. Estimation of the
population parameter is conducted by actually digitizing the
relationship of the observed variable and potential variable
represented in the path diagram so as to coincide with the sample
data as much as possible.
[0191] Next, in the "verification of model" at step S195, the
hypothetical model is verified. As a result of this verification,
if it is determined at step S196 the hypothetical model does not
coincide with the data, the routine returns to "estimation of path
diagram" at step S193 to recreate the hypothetical model, and
performs the "estimation of population parameter" at step S194 once
again.
[0192] After the "verification of model" at step S195, if it is
determined that the hypothetical model coincides with the data at
step S196, the result is output at step S197, and the routine is
ended thereby. And, the routine returns to FIG. 3, and creates the
"company ranking" at step S13.
[0193] FIG. 24 is an example of the path diagram representing the
results of the covariance structure analysis for valuating the
intellectual property strategic management company. The path
diagram shown in FIG. 24 is used for representing the results after
creating the hypothesis and verifying the hypothetical model a few
times.
[0194] As evident from the drawings, the intellectual property
strategic management model shows a structure where the three
strategies of "financial/profitability" factor (management),
"patent strategy" factor (patent) and "R&D investment" factor
(R&D) are associated. As a result of valuating this
"intellectual property strategic management company" (black) based
on this model, with respect to the influence (contribution ratio)
in relation to the "intellectual property strategic management
company" model (black), it is clear that the
"financial/profitability" factor is roughly 26%, "R&D
investment" factor (R&D) is roughly 17%, and "patent strategy"
factor is 46%. Further, when viewing the coefficient of correlation
between the factors, "financial/profitability"--"patent strategy"
is 0.17, "patent strategy"--"R&D investment" is 0.12, and
"R&D investment"--"finance/profitability" is 0.34, and each of
these shows a weak relationship.
[0195] Further, there are 3 indexes that are valuating the
"intellectual property strategic management company" from the
outside; namely, "MVA (difference between the aggregate market
price and stockholders' equity)", "PBR (price book value
ratio).right brkt-bot.(market valuation index), and "total factor
productivity". Here, the "intellectual property strategic
management company" is set as a potential factor existing between
these 3 external indexes and the "finance/profitability" factor,
"R&D investment" factor, and "patent application strategy"
factor. The reason a market valuation index is used as the external
valuation index is because market price that is greater than the
book price corresponds to the valuation in relation to off-balance
intellectual assets such as know-how and intellectual property of
the respective companies. Contrarily, if the market price is lower
than the book value, the market will consider that the company
hardly has any off-balance intellectual assets, or is not capable
of utilizing this as the source of profit.
[0196] Nevertheless, there are restrictions to the intellectual
asset valuation obtained from the market valuation index. This is
because the market price will rise or fall wrongfully due to the
macro economic environment or asymmetry of information existing
between the company and market, noises unrelated to the valuation
of intellectual assets are contained therein. Thus, in addition to
the market valuation index, "total factor productivity" is used as
an external index for valuating the "intellectual property strategy
management". Here, the "total factor productivity" is an index for
measuring the "technical progress ratio" and which can be obtained
by subtracting the rate of change of "facilities" and "workforce"
from the rate of change of the "value added amount" in each year of
the respective companies.
[0197] In an embodiment of the present invention, the "intellectual
property strategic management company" has been defined as a
structure having an unknown potential factor existing between the
three factors of business, R&D and intellectual property and
the external valuation indexes of MVA, PBR and total factor
productivity. Thereupon, a model is created by selecting and
determining indexes that fit the most with such structure among all
indexes described in FIG. 4 to FIG. 9. Indexes constituting the
respective factors selected and determined based on the creation of
the adaptive model are as follows.
[0198] Foremost, the model adaptations which are the highest as the
index constituting the "finance/profitability" factor are the 4
ratios of "capital investment ratio", "equity capital ratio",
"costs of goods sold ratio" and "sales volume operating profit
ratio". Subsequently, the model adaptations which are the highest
as the index constituting the "R&D investment" factor are the 3
ratios of "R&D cost ratio .delta.", "R&D expenditure per
inventor" and "patent application productivity". Finally, the model
adaptations which are the highest as the index constituting the
"patent strategy" factor are the 4 ratios of "number of claims per
application", "number of claims per inventor", "patent
diversification index" and "average patent competitive position
index". Incidentally, as the index constituting the "patent
strategy" factor, additionally there are "patent desire", "check
power against other company" and "total valid patent share". The
definition and calculation method of the respective indexes are as
per the lists shown in FIG. 4 to FIG. 9.
[0199] FIG. 25 to FIG. 29 are lists of company rankings valuating
the "intellectual property strategic management company" based on
the foregoing covariance structure analysis. FIG. 25 is a list
constituted from the overall valuation ranking of the "intellectual
property strategic management company", and the respective company
scores of the "finance/profitability" factor, "R&D investment"
factor and "patent strategy" factor. Incidentally, the overall
ranking of the "intellectual property strategic management company"
is displayed by calculating the overall "total score",
standardizing the companies with the highest scores as 100 points
or 1000 points, and listing the companies in descending order from
the company with the highest "total score" down.
[0200] The lists shown in FIG. 26 to FIG. 29 respectively show
company rankings for each of the three external indexes described
above, and the respective indexes constituting each of the factors.
As described above, in the covariance structure analysis, in
addition to creating a ranking representing the overall valuation
of the overall company, it will be possible to create a company
ranking representing a multilateral valuation of each factor.
[0201] Further, in addition to conducting the corporate valuation
for each factor, corporate valuation may also be conducted based on
industry or product. Moreover, corporate valuation may be conducted
based on the sections, classes, sub classes, and main groups of the
International Patent Classification (IPC), or corporate valuation
may be conducted based on US Patent Classification (UPC) or US
Standard Industry Classification (SIC).
[0202] For instance, FIG. 30B and FIG. 31B are representations as
company rankings of the results obtained by valuating the patents
owned by companies in the electrical industry in arbitrary IPC sub
groups based on a plurality of indexes representing patent
features. As a result of adopting this kind of corporate valuation
method, the potential values of the respective companies can be
valued in more detail and with more precision.
[0203] Incidentally, FIG. 30A and FIG. 31A are examples of the
scatter diagram created from the company ranking shown at FIG. 30B
and FIG. 31B. For example, FIG. 30A is an example of a scatter
diagram in which the results upon valuating the patents owned by
the 4 leading companies in the electrical industry in arbitrary IPC
sub groups based on the two indexes of "patent desire" and "total
valid patent share" are plotted as a factor score. Similarly, FIG.
31A is an example of a scatter diagram in which the results upon
valuating the patents owned by the 4 leading companies in the
electrical industry in arbitrary IPC sub groups based on the two
indexes of "check power against other company" and "total valid
patent share" are plotted as factor scores. As a result of
employing the scatter diagrams shown in FIG. 30A and FIG. 31A, it
will be possible to compare patents owned by the respective
companies by technical fields, or with competitors. In addition,
contrary to the foregoing procedures, for instance, the factor
scores plotted on FIG. 30A and FIG. 31A may be added and totaled,
and, by setting scores in advance by areas in the respective
quadrants, the number of dots plotted in the respective areas may
be totaled. Thereby, it will be possible to create a company
ranking by IPC sub groups and based on each of the plurality of
indexes representing patent features.
[0204] (2-2-4. Other Methods of Company Valuation)
[0205] As described above, in an embodiment of the present
invention, as the method of conducting corporate valuation, three
methods; namely, a method of selecting an index and performing
principle component analysis; a method of performing factor
analysis and multiple regression analysis and thereafter performing
principle component analysis; and a method of performing covariance
structure analysis are explained. Nevertheless, the method of
conducting corporate valuation is not limited to the foregoing
methods. For example, multiple regression analysis may be performed
without performing factor analysis, and principle component
analysis may be performed thereafter upon selecting an index having
a high contribution ratio in relation to the target variable. In
addition, as another method of conducting corporate valuation,
linear programming or non-linear programming may also be employed.
As described above, a plurality of types of company rankings can be
created based on a plurality of corporate valuation methods.
Therefore, a company group to become the plurality of
stock-for-portfolio candidates can be created based on different
perspectives.
[0206] (2-3. Selection of Stock for Portfolio Company)
[0207] Returning to FIG. 3 once again, subsequently at step S14, N
number of companies (hereinafter simply referred to as "N
companies") is selected from the total ranking based on the
corporate valuation at step S13 in order to select the
stock-for-portfolio company. As the method of selecting N
companies, (1) a method of simply selecting the top N companies of
the ranking, (2) a method of selecting companies having the
standardized value of 1 or more with principle component 1, and (3)
a method of selecting companies having the standardized value of 2
or more with both principle component 1 and principle component 2
may be employed. These selection methods are loaded in the program
in advance, and may be automatically executed, or manually executed
by the user. In an embodiment of the present invention, the top 10
companies and top 20 companies respectively shown in the rankings
of FIG. 13 and FIG. 14 will be selected.
[0208] (2-4. Selection of Investment Ratio)
[0209] Next, at step S15, the selection of investment ratio of
stock relating to the selected stock-for-portfolio company is
conducted. FIG. 32 is a flowchart showing the processing steps of
the investment ratio selection. Foremost, at step S151, the
stock-for-portfolio company data is acquired from the internal
database 30A.
[0210] (2-4-1. Parameter Calculation)
[0211] And, at step S152, the index is selected, and the price
movement data of publicly available index is acquired. Here, and
index is the stock price index showing the trend of the overall
market. As the index, for instance, there is the Nikkei Stock
Average, TOPIX, S&P 500 and so on. FIG. 33 is a list
representing the aggregate {TD*} of the price movement data of the
selected index *. In an embodiment of the present invention,
although the price movement data for the past 2 years is obtained,
the period of acquiring such data is not limited thereto, and an
arbitrary period may be set.
[0212] Next, at step S153 of FIG. 32, the expected return and risk
of the index are calculated. Here, an expected return is the profit
ratio expected to be obtained from the investment. Generally, if
the profit ratio of assets x is made to be Rx, the expected return
will be represented with E(Rx). Further, expectation is a value
obtained by weighing and averaging the value of the probability
variable with the probability. Further, risk generally means the
possibility that the value is not realized, and investment risk in
particular is measured based on the variability of the expected
return and the scale of variance. The risk value is represented
with a standard deviation (a), which is the positive square root of
the variance. FIG. 33 shows the expected return E(R*) and risk
.sigma..sub.R* of index *.
[0213] Next, at step S154, price movement data is acquired for each
stock of individual company (hereinafter referred to as "individual
stock") constituting the stock for portfolio. FIG. 34 is a list
showing the aggregate {TD.sub.i} of the price movement data of the
actual stock price of individual stock i (i=1 . . . N. N represents
number of selected companies).
[0214] Next, at step S155, the excess return (.alpha.), sensitivity
(.beta.) and residual (.epsilon.) based on the price movement of
the actual stock price of each individual stock are calculated.
Here, excess return (.alpha.) shows how much the profit ratio of
individual stock exceeded or fell below the profit ratio of the
index. Sensitivity (.beta.) is a coefficient showing the
relationship of the price movement of the index and the price
movement of the stock price of individual stock. Residual
(.epsilon.) is a value generated based on elements unique to
companies subject to individual stock.
[0215] Calculation of .alpha..sub.i, .beta..sub.i,
.epsilon..sub.i(i=1 . . . N) of each individual stock is conducted
based on the comparative analysis of the price movement
data{TD.sub.i} individual stock shown in FIG. 34, and the price
movement data{TD*} of index* shown in FIG. 33. Further, in an
embodiment of the present invention, comparative analysis is
conducted based on the regression analysis. FIGS. 35A and 35B are
charts representing the calculated values of .alpha..sub.i,
.beta..sub.i, .epsilon..sub.i. FIG. 35A shows four types of tables
of "regression statistics", "variance analysis", "residual output"
and "probability". FIG. 35B shows two graphs of "observed value
graph" and "normal probability graph".
[0216] (2-4-2. Theoretical Stock Price Calculation)
[0217] Next, at step S156, the theoretical stock price for each
individual stock is calculated. The purpose of calculating the
theoretical stock price here is to calculate the stock price which
appropriately reflects the company's potential competitive power
with the R&D cost related index and intellectual asset related
index, and correct the parameter of each individual stock. As a
result, a more preferable expected return and risk can be
estimated. The theoretical stock price in an embodiment of the
present invention is sought by obtaining the estimate aggregate
market value by adding the equity capital of companies to the sum
of the present value of residual profit in which the return
requested from fund providers is deducted from the profits obtained
from business activities, and dividing such estimated aggregate
market value by the total outstanding stock volume. FIG. 36 is a
flowchart representing the processing steps for calculating the
theoretical stock price. Foremost, at step S1561, the valuation
index data and stock price data of the selected stock-for-portfolio
company are acquired from the internal database 30A.
[0218] Next, at step S1563, the total business income after tax
theoretical value is calculated with the acquired corporate
valuation index related data. Here, the gross business profit is an
amount obtained by adding the patent royalty income to the amount
of profit sought by adding the R&D cost processed as expenses
back to the operating profit. The reason for using the gross
business profit and not the operating profit is because, firstly,
it is necessary to comprehend the profit secured by companies prior
to the deduction of the R&D cost. Secondly, as a result of
incorporating the profits from intellectual assets such as patents
created based on R&D, it will be possible to appropriate
valuate the company's potential competitive power, and to
comprehend how such potential competitive power is linked with
overt competitive power and profits.
[0219] FIG. 37 is a flowchart showing the processing steps for
calculating the total business income after tax theoretical value.
Foremost, at step S15631, corporate valuation index related data
containing the intellectual asset related index is acquired from
the internal database 30A.
[0220] Next, at step S15633, whether to perform factor analysis
processing is selected. When selecting to perform factor analysis
processing, factor analysis relating to the acquired index data is
performed at step S15635 so as to extract primary factors. The
respective indexes are united for each of the extracted factors.
The processing steps of factor analysis are the same as the
procedures during the valuation of a company to become the
stock-for-portfolio candidate, and the explanation thereof is
omitted. FIG. 38A is a list representing the factor analysis. As a
result of performing factor analysis, the three factors of factor 1
(intellectual assets stock), factor 2 (productivity) and factor 3
(concentration of patent/technology) are extracted.
[0221] At step S15637 of FIG. 37, the factor extracted in the
factor analysis processing is made to be the explanatory variable,
and ROA .beta. as the profit related index is used as the target
variable upon performing the multiple regression analysis. Here,
ROA .beta. is the ratio in relation to the total assets of the
gross business profit generated in each year by the company. The
calculation formula of ROA .beta. is as shown in Formula 17 below.
ROA .beta.=Gross Business Profit/Total Assets (Formula 17)
[0222] Incidentally, the profit related index used as the target
variable is not limited to ROA .beta., and any profit related index
may be used according to the objective and nature of analysis.
[0223] Incidentally, since the processing steps of calculating the
partial regression coefficient and standard partial regression
coefficient, verifying the respective coefficients with the t
value, and verifying the adaptation of the multiple regression
equation with determination coefficient R.sup.2' flexibility
corrected are also the same as the procedures for valuating the
company to become the stock-for-portfolio candidate, the
explanation thereof is omitted. FIG. 38B and FIG. 39 are a list and
relationship diagram representing the results of the multiple
regression analysis. As shown in FIG. 39, as a result of having
performed the multiple regression analysis, the statistically
significant factors are factor 1 (intellectual assets stock) and
factor 2 (productivity). Further, the contribution ratio in
relation to ROA .beta. of each factor is 60.79% in factor 1
(intellectual assets stock) and 39.21% in factor 2
(productivity).
[0224] Next, at step S15639 of FIG. 37, the theoretical value of
ROA .beta. is calculated. In order to perform this calculation,
foremost, a regression line is derived in which factor 1
(intellectual assets stock) and factor 2 (productivity) which had a
high contribution ratio in relation to ROA .beta. are made to be
independent variables, and ROA .beta. employed in the target
variable is made to be a dependent variable. FIG. 40 is a graph of
the regression line representing the relationship of factor
1/factor 2 and ROA .beta.. The theoretical value of ROA .beta. is
sought with a point on this regression line.
[0225] Incidentally, when factor analysis is not performed at step
S15633, multiple regression analysis is performed at step S15637
based on the index data acquired at step S15631. Here, an index
having a high contribution ratio in relation to target variable ROA
.beta. is selected, the selected index is made to be an independent
variable, and ROA .beta. is made to be a dependent variable upon
deriving the regression line. Further, the method of calculating
the theoretical value of ROA .beta. at step S15639 is not limited
to factor analysis or multiple regression analysis. For instance,
covariance structure analysis may also be employed to calculate the
theoretical value of ROA .beta..
[0226] Next, at step S15641, the gross business profit theoretical
value is calculated. The gross business profit theoretical value is
sought by multiplying the total assets of the company to the
theoretical value of ROA .beta. once again.
[0227] Next, at step S15643, the value of the R&D cost to be
deducted from the gross business profit theoretical value is
calculated. At present, the R&D cost is collectively recorded
as accounting expenses. Nevertheless, R&D is conducted for the
purpose of increasing profits with the subsequent commercialization
and merchandizing. Thus, it would be appropriate to deem the
portion of the R&D cost contributing to the profit of companies
as assets, and not expenses. Therefore, investment of funds in
R&D will be deems an investment, and not expenses, and losses
that do not function as assets will be calculated as annual
depreciation costs as with other fixed assets. And, by deducting
the calculated depreciation costs, the remaining R&D cost
(R&D cost after depreciation) will be calculated as assets. As
the calculation method of such depreciation costs, firstly, there
is an approach based on a macro corporate valuation of measuring
how the R&D funds invested as an input generate intellectual
assets as an output, and how such assets lead to achievements.
Further, as the second calculation method, there is an approach
based on a micro patent information analysis of performing a
detailed analysis of the number of applications filed and subject
matter of such applications of each company, forming an index of
the competitive power of the company in a patent/technical
development competitive market, and speculating the technical
development characteristics thereof. Incidentally, in an embodiment
of the present invention, it will be hypothesized that there are no
losses pertaining to R&D, and depreciation costs have not been
deducted.
[0228] Next, at step S15645, the operating profit theoretical value
is calculated. Incidentally, this operating profit theoretical
value is a theoretical value of a value including the patent
royalty income. The operating profit theoretical value is sought by
deducting the R&D cost calculated at step S15643 from the gross
business profit theoretical value. In an embodiment of the present
invention, the total amount of R&D costs recorded as expenses
is deducted from the gross business profit theoretical value. FIG.
41 is a list representing the calculation results of the actual
values and theoretical values including ROA .beta., gross business
profit, and operating profit including the patent royalty income of
each year of a specific company.
[0229] Next, at step S15647, the operating profit after tax
theoretical value is calculated. The operating profit after tax
theoretical value is calculated by deducting the corporate tax from
the operating profit theoretical value including the patent royalty
income. Specifically, this is as shown in Formula 18 below.
Operating Profit After Tax Theoretical Value=Operating Profit
Theoretical Value (Including Patent Royalty
Income).times.(1-corporate tax rate) (Formula 18)
[0230] Finally, at step S15649, the total business income after tax
theoretical value is calculated. The total business income after
tax theoretical value is sought by adding the R&D cost
calculated at step S15643 to the operating profit after tax
theoretical value. Incidentally, the total business income after
tax theoretical value according to an embodiment of the present
invention employs an average value of three terms of the operating
profit after tax theoretical value (including patent royalty
income) and R&D cost. Nevertheless, the length of the term to
be adopted is not limited to the above, and this may be arbitrarily
set.
[0231] After calculating the total business income after tax
theoretical value, the routine returns once again to FIG. 36, and
at step S1565, the investment capital cost of the company is
calculated. The investment capital cost is calculated based on the
weighted average cost of capital (WACC). WACC is an abbreviation of
Weighted Average Cost of Capital, and represents the minimum amount
of return requested by the fund provider. Further, weighted average
is the act of weighing and averaging the costs arising in
connection with the debts as fund procurement resource of companies
and stockholders' equity with the procured amount. The calculation
formula of WACC is as shown in Formula 19 below. Investment Capital
Cost (WACC)=Market Value of Interest Bearing Debt/Market Value of
Company.times.Debt Cost.times.(1-corporate tax rate)+Market Value
of Stock/Market Value of Company'Stockholders' Equity Cost (Formula
19)
[0232] Incidentally, the method of calculating the capital cost is
not limited to Formula 19 described above. For example, a method of
calculation which multiplies the value obtained by adding the
company's operating capital and tangible fixed assets with WACC may
also be employed. Any of these methods may be arbitrarily selected
according to the objective of analysis or nature of target.
[0233] Next, at step S1567, the theoretical economic excess profit
is calculated by deducting the investment capital cost calculated
at step S1565 from the total business income after tax theoretical
value. Here, the theoretical economic excess profit is the
theoretical value of the residual profit after deducting the
investment capital cost from the total business income after tax
theoretical value. The calculation formula of the theoretical
economic excess profit is as shown in Formula 20 below. Theoretical
Economic Excess Profit=Total Business Income After Tax Theoretical
Value (Average Value of 3 Terms)-Investment Capital Cost (Formula
20)
[0234] Next, at step S1569, the discount rate is calculated. A
discount rate is a type of interest for calculating the future
profits of the company upon returning them to the present value.
The discount rate is calculated based on a capital asset pricing
model (CAPM). CAPM is the abbreviation of Capital Asset Pricing
Model, and is a model for showing that there is a quantitative
relationship for balancing the supply and demand between the risk
assets and expected profit ratio. CAPM is calculated by adding a
value obtained by multiplying coefficient (.beta.) representing the
stock price range of individual companies with a value obtained by
deducting the risk-free rate of risk-free assets from the profit
ratio of the stock market, and the risk-free rate of risk-free
assets. The calculation formula of CAPM is as shown in Formula 21
below. Discount Rate (CAPM)=Risk-free Rate of Risk-free
Assets+.beta..times.(Profit Ratio of Stock Market-Risk-free Rate of
Risk-free Assets) (Formula 21)
[0235] Next, at step S1571, the theoretical market value added is
calculated by dividing the theoretical economic excess profit by
the discount rate. The theoretical market value added is equivalent
to the sum of the discounted present value of the theoretical
economic excess profit in a future term. Theoretical market value
added is the theoretical value regarding the valuation in the
market of off-balanced assets of the company. In other words, the
theoretical market value added is the difference between the
company's potential market value and equity capital, and represents
the value deemed to be generated beyond the capital invested in the
company. The calculation formula of the theoretical market value
added is as shown in Formula 22 below. Theoretical Market Value
Added=Theoretical Economic Excess Profit/Discount Rate (Formula
22)
[0236] Next, at step S1573, the company's equity capital is
calculated. Equity capital is the stockholders' equity; in other
words, the net assets of the company, and an average value of 3
terms is used in an embodiment of the present invention.
[0237] Next, at step S1575, the estimated aggregate market value is
calculated. The estimated aggregate market value is calculated by
adding the average value of 3 terms of equity capital calculated at
step S1573 to the theoretical market value added. The calculation
formula of the estimated aggregate market value is as shown in
Formula 23 below. Estimated Aggregate Market Value=Theoretical
Market Value Added+Equity Capital (Average of 3 Terms) (Formula
23)
[0238] Next, at step S1577, the theoretical stock price is
calculated. The theoretical stock price is calculated by dividing
the calculated estimated aggregate market value by the total
outstanding stock volume. The calculation formula of the
theoretical stock price is as shown in Formula 24 below.
Theoretical Stock Price=Estimated Aggregate Market Value/Total
Outstanding Stock Volume (Formula 24)
[0239] Incidentally, the calculation method of the theoretical
stock price is not limited to the embodiments of the present
invention. For example, a method of calculating the estimated
aggregate market value by deducting the amount of debt from the
discounted present value of future profits of the company, and
dividing this by the total outstanding stock volume so as to obtain
the theoretical stock price may also be employed. Or, it is also
possible to calculate the theoretical stock price based on the
dividends of stock. Any of these methods may be arbitrarily
selected according to the objective of calculation and target of
calculation of the theoretical stock price. Incidentally, the
calculated theoretical stock price is stored in the internal
database 30A.
[0240] Next, at step S1579, the calculation result of the
theoretical stock price is displayed on a display screen together
with the actual stock price. Further, as necessary the list or
graph of the calculation result of the theoretical stock price and
price movement data of the actual stock price is output to the
printer 31.
[0241] FIG. 42 is a list of the calculation result of the
theoretical stock price. In this list, the company name, year,
performance of the actual stock price and the theoretical stock
price are displayed. Many of the calculated theoretical stock
prices are of a higher value than the actual stock prices. This is
based on the calculation of stock prices properly reflecting the
company's potential competitive power as a result of valuating the
outline of the intellectual assets created by the company and the
contributions in relation to the corporate profit of intellectual
assets employing, in addition to the management/finance related
index, the R&D cost related index and intellectual asset
related index. From this result, many of the stock prices of
prescribed companies shown in FIG. 42 can be judged as being
relatively cheap in comparison to the potential corporate value of
the companies. Moreover, in light of the above, if there are no
problems in areas other than business activities based on the core
business of the company, it can be determined that it is highly
likely for the stock prices to rise in the future.
[0242] (2-4-3. Investment Ratio Selection)
[0243] Returning once again to the flowchart of FIG. 32
representing the processing steps of selecting the investment
ratio, foremost, at step S157, the parameters (.alpha., .beta.,
.epsilon.) of each individual stock calculated based on the actual
stock price are corrected based on the theoretical stock price.
Here, the aggregate {TD.sub.i}' of the price movement data of the
theoretical stock price is sought by multiplying a coefficient
according to a time series to the actual stock price such that the
aggregate {TD.sub.i} of the price movement data of the actual stock
price of individual stock i (i=1 . . . N) will pass through the
present theoretical stock price, the theoretical stock price of the
previous year, or the theoretical stock price of 2 years ago, or
such that it overlaps with the aggregate value of these theoretical
stock prices.
[0244] Thereafter, the aggregate {TD.sub.i}' of the price movement
data of the theoretical stock price and the aggregate {TD*} of the
price movement data of the index * are subject to comparative
analysis. And, the theoretical excess profit (.alpha..sub.i'),
theoretical sensitivity (.beta.') and theoretical residual
(.epsilon.') are calculated for each individual stock. FIG. 43 is a
list showing the calculation result of the excess profit (.alpha.),
sensitivity (.beta.) and residual (.epsilon.), and the theoretical
excess profit (.alpha.'), theoretical sensitivity (.beta.') and
theoretical residual (.epsilon.') of each individual stock.
[0245] Incidentally, the method of correcting the parameter of
individual stocks is not limited to the above. For instance, after
calculating the theoretical stock price, it is possible to
calculate the theoretical excess profit (.alpha.'), theoretical
sensitivity (.beta.') and theoretical residual (.epsilon.') by
directly comparing this with the index. Or, without correcting the
excess profit (.alpha.), sensitivity (.beta.) and residual
(.epsilon.) calculated based on the actual stock price with the
theoretical stock price, these may be used as the theoretical
excess profit (.alpha.'), theoretical sensitivity (.beta.') and
theoretical residual (.epsilon.') without change. Further, as
another correction method, statistical analysis or nonlinear
analysis employing the input information of the theoretical stock
price and a variety of other methods of analysis may be
employed.
[0246] Next, at step S158, the expected return and risk for each
individual stock are calculated based on the calculated theoretical
excess profit (.alpha.'), theoretical sensitivity (.beta.') and
theoretical residual (.epsilon.'). Foremost, the expected return of
the individual stock is represented with E(R.sub.i)(i=1 . . . N),
and is calculated based on Formula 25 below. Expected Return
E(R.sub.i)=Theoretical Excess Profit (.alpha.')+Theoretical
Sensitivity (.beta.').times.Return of Index *+Theoretical Residual
(.epsilon.') (Formula 25)
[0247] Next, the risk of the individual stock is calculated. The
risk is represented with .sigma..sub.Ri(i=1 . . . N), and is sought
by calculating variance .sigma..sup.2 of the expected return of the
individual stock. Specifically, this is as shown in Formula 26
below. Variance .sigma.Ri.sup.2 of Individual
Stock=.SIGMA..sub.i=1.sup.N[{E(R.sub.i)-E(R*)}.sup.2]/N-1 (Formula
26)
[0248] Incidentally, risk .sigma..sub.Ri is the positive square
root of variance .sigma..sub.Ri.sup.2.
[0249] Next, at step S159, the expected return and risk of the
overall stock portfolio are calculated based on the expected return
and risk calculated for each individual stock. Foremost, the
expected return of the overall stock portfolio is calculated. The
expected return of the overall stock portfolio is represented with
E(Rp), and is calculated based on Formula 27 below. Expected Return
E(Rp)=.alpha.'.sub.p+.beta.'.sub.p.times.E(R*) (Formula 27)
[0250] Here, .alpha.'.sub.p represents the theoretical excess
profit (a') of the overall stock portfolio. .beta.'.sub.p
represents the theoretical sensitivity (.beta.') of the overall
stock portfolio. E(R*) represents the expected return of the index
*. The theoretical excess profit (.alpha.') of the overall stock
portfolio is a weighted average of .alpha.' of the individual stock
in relation to the share of portfolio. Further, the theoretical
sensitivity (.beta.') of the overall stock portfolio is similarly a
weighted average of .beta.' of the individual stock in relation to
the share of portfolio.
[0251] Next, the risk of the stock portfolio is calculated. The
risk of the overall stock portfolio is represented with
.sigma..sub.Rp, and is sought by calculating variance
.sigma..sub.Rp.sup.2 of the overall stock portfolio. Specifically,
this is as shown in Formula 28 below. Variance .sigma..sub.Rp.sup.2
of Overall Stock
Portfolio=.beta.'.sub.p.sup.2.sigma..sub.R*.sup.2+.SIGMA..sub.i=1.sup.N(X-
.sub.i.sup.2.sigma..sub..epsilon.i.sup.2) (Formula 28)
[0252] Here, .beta.'.sub.p.sup.2 represents the variance of the
theoretical sensitivity (.beta.') of the overall stock portfolio.
.sigma..sub.R*.sup.2 represents the variance of the index *.
X.sub.i(i=1 . . . N) represents the individual share of portfolio.
.sigma..sub..epsilon.i.sup.2 represents the variance of the
predicted residual (.epsilon.') of the individual stock.
Incidentally, risk .sigma..sub.Rp of the overall stock portfolio is
the positive square root of variance .sigma..sub.Rp.sup.2.
[0253] Here, since the first term on the right side is a crossing
of the variance of the index * and the variance of .beta.' of the
overall stock portfolio, this value will be influenced based on the
price movement of the index. Meanwhile, the second term is
determined based on the standard deviation (.sigma..sub..epsilon.i)
of the predicted residual (.epsilon.') of the individual stock and
the share of portfolio (X) of the individual stock, and is not
related to the risk of the index *. Thus, the first term on the
right side is referred to as the systematic risk (market risk), and
the second term is referred to as the unsystematic risk (non-market
risk). In other words, the risk of the overall stock portfolio is
based on elements resulting from the price movement of the index *,
and element resulting from events unique to the stock
portfolio.
[0254] Next, at step S160, the efficient frontier is derived based
on the expected return and risk of the calculated stock portfolio.
Specifically, foremost, when the expected return of the stock
portfolio is fixed, the share of portfolio of the stock for
portfolio in which the risk is to be minimized (hereinafter
referred to as the "minimum risk share of portfolio") is
calculated. Next, by changing the expected return of the stock
portfolio into various values, the minimum risk share of portfolio
corresponding to the respective expected returns is calculated.
And, the aggregate of the minimum risk share of portfolio by the
obtained expected return is derived as the efficient frontier.
Here, "frontier" means the outer edge of the portfolio, and implies
that a combination having a smaller risk in an equivalent expected
return among any and all combinations of the stock in possess does
not exist.
[0255] Next, at step S161, data concerning the risk-free rate of
risk-free assets is acquired. Here, risk-free assets mean the
assets such as government bonds in which assured profits are
guaranteed. A risk-free rate is the return of the risk-free assets.
For example, in Japan, the risk-free rate of the 10-year government
bond to be the index of a long-term interest rate and, in the US,
the risk-free rate of a 30-year bond will become the index of the
risk-free rate of risk-free assets.
[0256] Next, at step S162, the capital market line is derived. A
capital market line is a straight line representing the
relationship of the risk and return of the portfolio incorporating
risk assets such as stocks and risk-free assets. A capital market
line, foremost, is derived by drawing a tangent from a fixed point,
which is the risk-free rate of risk-free assets, toward the
efficient frontier.
[0257] No investor only owns financial assets as stock, and always
owns safe assets without any risk in decrease in prices. Thus, the
decision making for selecting the investment ratio of stock
portfolio, and the decision making for selecting the investment
ratio upon combining risk-free assets and risk assets such as stock
are conducted completely separately. As a result, the optimum
portfolio for an investor in the efficient frontier will be
determined at one point which contacts the capital market line.
This is the reason the capital market line is introduced in
addition to the efficient frontier.
[0258] Next, at step S163, the optimum share of portfolio of the
stock for portfolio is determined in the contact point of the
efficient frontier and capital market line. FIG. 44 is a graph
representing an example realizing the optimum share of portfolio in
the contact point of the efficient frontier and capital market
line.
[0259] The foregoing is the standard processing steps for selecting
the optimum investment ratio of a stock portfolio. Nevertheless, in
an embodiment of the present invention, by calculating the
theoretical stock price of each stock-for-portfolio company, the
parameters (.alpha..sub.i', .beta..sub.i', .epsilon..sub.i') are
corrected by appropriated valuating the potential competitive power
of the respective companies. As a result, it is highly likely that
the value of the expected return E(R.sub.i) of the theoretical
stock price compared with the actual stock price will comparatively
rise. Or, at the same time, it is highly likely that the value of
risk .sigma..sub.Ri of the theoretical stock price compared with
the actual stock price will comparatively fall.
[0260] Accordingly, for instance, as shown in FIG. 45, when both
the rise of the expected return and the fall of the risk occur, the
efficient frontier will shift toward the upper left direction from
(1) to (2). Pursuant thereto, the contact point of the capital
market line and efficient frontier will also shift toward the upper
left direction, and the optimum share of the stock portfolio will
be changed thereby. Further, although not shown, when only the
expected return rises, the efficient frontier will shift upward.
Moreover, when only the risk falls, the efficient frontier will
shift leftward. And, in either case, the contact point of the
capital market line and efficient frontier will change, and the
optimum share of the stock portfolio will be changed thereby.
[0261] Next, at step S164, the addition ratio for each individual
stock of the stock portfolio is determined. Foremost, the optimum
share of portfolio in the contact point of the efficient frontier
(2) and capital market line (2) shown in FIG. 45 is specified.
Next, in this contact point, the respective addition ratios of each
individual stock of the stock portfolio are calculated. FIG. 46 is
a chart representing an example of the theoretical addition ratio
of each individual stock in the contact point of the efficient
frontier and capital market line.
[0262] Incidentally, with the calculated theoretical addition ratio
as is, there may be cases where the investment ratio cannot be
distributed. In other words, there may be cases where it is
necessary to determine the actual addition ratio capable of actual
distribution according to the minimum required investment amount or
actual stock price per stock. FIG. 47 shows an example of the
actual addition ratio determined from the theoretical addition
ratio. And, after the actual addition ratio is determined, the
selection procedure of the investment ratio is ended.
[0263] Incidentally, the investment ratio selection method is not
limited to the above. For example, a method of simply distributing
an equal number of stocks or a method of distributing an equal
amount to the stock-for-portfolio company may be employed. Or, a
method of distributing in proportion to the company score, or a
method of distributing to companies having a standardized value of
1 or 2 or more in the company ranking based on the principle
component analysis may be employed. Or, a method of selecting the
investment ratio with a linear programming or the like may be
employed. An investment ratio in relation to the respective
companies can be selected with any of these methods, or with a
combination of these methods.
[0264] Further, without selecting the stock-for-portfolio company
in advance, it is possible to select the investment ratio regarding
the stock for portfolio constituted from all companies or an
arbitrary company group. For example, the investment ratio can be
selected by calculating the risk and return, respectively, for all
target companies, and determining the optimum share of portfolio in
the contact point of the efficient frontier and capital market line
derived as a result thereof.
[0265] (2-5. Portfolio Creation)
[0266] Returning now to the flowchart of FIG. 3 representing the
processing steps of the stock portfolio selection, after the
investment ratio selection procedures is complete, at step S16, the
stock portfolio is created and stored in the internal database
30A.
[0267] Then, at step S17, the transition of the stock price
fluctuation ratio and return of the created stock portfolio is
computed, and, a list or graph visually displaying this is output
as necessary, and the routine is thereby ended.
[0268] (2-6. Transition Result of Stock Price Fluctuation Ratio and
Return of Stock Portfolio)
[0269] Next, an example of the transition result of the stock price
fluctuation ratio and return of the stock portfolio is described.
In this example, as a result of conducting the company ranking
based on principle component 1 and principle component 2 in the
principle component analysis performed for selecting the
stock-for-portfolio candidate company, the stock price transition
of the respectively selected top 10 companies, top 20 companies and
top 30 companies is shown. Further, the investment ratio is all
equally distributed.
[0270] FIG. 48 is a list representing the transition of the stock
price fluctuation ratio and return of the stock portfolio of the
top 10 companies, top 20 companies and top 30 companies
corresponding to principle component 1. FIG. 49 is a list showing
the transition of the stock price fluctuation ratio and return of
the stock portfolio of the top 10 companies, top 20 companies and
top 30 companies corresponding to principle component 2. Further,
FIG. 50 is a graph representing the comparative example of the
stock price fluctuation ratio. FIG. 51 is a graph representing a
comparative example of the stock return. FIG. 51 shows a
comparative example of the return in the case of distributing an
equal amount (= 1,000,000) to the respective companies constituting
the stock for portfolio.
[0271] When viewing the comparative example of the stock price
fluctuation ratio shown in FIG. 50, the stock portfolio of the
"intellectual assets concentration type" corresponding to principle
component 1 shown in FIG. 48 has a larger data spread in the stock
price in comparison to the stock portfolio of the "intellectual
assets diversification type" corresponding to principle component 2
shown in FIG. 49. This is considered to be a reflection of the
principle component 1 containing many specialized companies, and
the fluctuation of the profit ratio being significant in comparison
to the diversification type company group of principle component
2.
[0272] When viewing the comparative example of the stock portfolio
return shown in FIG. 51, it is evident that the stock portfolio of
the "intellectual assets concentration type" corresponding to
principle component 1 and the stock portfolio of the "intellectual
assets diversification type" corresponding to principle component 2
are both obtaining returns larger than the Nikkei Stock Average or
TOPIX in all three categories of top 10 companies, top 20 companies
and top 30 companies.
[0273] As described above, the stock portfolio selection device
pertaining to the present invention uses the indexes obtained from
patents representing off-balance intellectual assets and further
adds data obtained from information concerning the management and
finance of companies. Further, the stock portfolio selection device
then comprehensively valuates how the respective companies are
creating and operating the triune management strategy consisting of
business strategy, R&D strategy and intellectual property
strategy so as to increase the corporate value. Therefore, a more
preferable stock-for-portfolio company can be selected based on
such corporate valuation. Moreover, as a result of calculating the
theoretical stock price based on the same criterion as in the case
of selecting the stock-for-portfolio company, an investment ratio
having a higher expected return and/or a reduced risk can be
selected.
[0274] Accordingly, by employing the stock portfolio selection
device pertaining to the present invention, it will be possible to
provide to investors and others a new service system for creating a
stock portfolio with higher profitability while linking with the
index. Further, it will also be possible to provide a new stock
portfolio selection method as a service. Moreover, as a result of
providing the program itself for controlling the stock portfolio
selection system, each client will be able to personally utilize
this system to realize a stock portfolio with high
profitability.
[0275] The stock portfolio selection device, stock portfolio
selection method and stock portfolio selection program according to
the present invention comprehensively valuates companies based on a
corporate valuation index containing an R&D cost related index,
management/finance related index and intellectual asset related
index, and are employed for the purpose of providing a highly
profitable stock portfolio based on the valuation result
thereof.
* * * * *